Rational expectations equilibria: existence and representation

Abstract

In this paper, we continue to explore the equilibrium theory under ambiguity. For a model of a pure exchange and asymmetric information economy with a measure space of agents whose exogenous uncertainty is described by a complete probability space, we establish a representation theorem for a Bayesian or maximin rational expectations equilibrium allocation in terms of a state-wise Walrasian equilibrium allocation. This result also strengthens the theorems on the existence and representation of a (Bayesian) rational expectations equilibrium or a maximin rational expectations equilibrium in the literature.