Dynamic noisy rational expectations equilibrium with insider information: Welfare and regulation

B-Tier
Journal: Journal of Economic Dynamics and Control
Year: 2022
Volume: 141
Issue: C

Authors (3)

Detemple, Jerome (not in RePEc) Rindisbacher, Marcel (Boston University) Robertson, Scott (not in RePEc)

Score contribution per author:

0.670 = (α=2.01 / 3 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This paper examines welfare properties of equilibra in the general dynamic model with asymmetric information of Detemple et al. (2020). Explicit formulas for ex-ante and interim welfare are obtained, and equilibria are compared. We show a tax structured as an exchange option based on public information induces the insider to optimally forgo using her private information at all times.

Technical Details

RePEc Handle
repec:eee:dyncon:v:141:y:2022:i:c:s0165188922000793
Journal Field
Macro
Author Count
3
Added to Database
2026-01-25