Bayesian general equilibrium (Q2256988)

The author introduces and investigates a statistical exchange equilibrium model considering non-rationality of agents. An economy of a finite number \(C\) of commodities consists of a finite number \(I\) of types of agents, and each of type \(i\) consists of a continuum of agents with mass \(n_i > 0\). The commodity space \(X\) is a close convex subset of \(\mathbb R^C_+\). Agents of type \(i\) are identical and are endowed with a commodity bundle \(e_i \in X\). They act probabilistically and independently according to a decision rule which is characterized by a probability measure \(\mu_i(p,x)\), where \(p\) is the price vector and \(x=(x_i) \in X^I\) is the profile of the average demand of each type. In the case of determinancy and rationality of the agents' behaviour the proposed model coincides with the Arrow-Debreu exchange model. However, the concept of equilibrium here is more complex. The equilibrium is defined in two steps. At first, following \textit{D. K. Foley} [J. Econ. Theory 62, No. 2, 321--345 (1994; Zbl 0799.90022)], ``an interim equilibrium is defined by the posterior demand distribution of agent types conditional on market clearing''. Such equilibrium can violate the agents' budget constraints and they ought to revise their demand distribution by applying the Bayes rule. This is ``updating rules for price and average demand'' leading to a `Bayesian general equilibrium' (BGE), which takes into account the budget constraints. The existence and `informational efficiency' (in some sense) of the BGE are proved. Also, the conditions under which the set of Bayesian and Walrasian equilibria coincide are obtained.