Existence and regularity of partially revealing rational expectations equilibrium in finite economies

We consider an incomplete financial market exchange economy with nominal as sets and a finite number of traders, goods, states and signals. In this fra mework, we prove the existence and regularity of rational expectations equi libria for any informational structure derived from prices. We provide a pr oof that completes the characterization of existence of equilibrium in thes e economies, in the following sense: while Polemarchakis and Siconolfi [Pol emarchakis, H., Siconolfi, P., 1993. Asset markets and the information reve aled by prices. Economic Theory, Vol. 3, pp. 645-661.] show existence only of fully nonrevealing equilibrium, and Rahi [Rahi, R., 1995. Partially reve aling rational expectations equilibria with nominal assets. Journal of Math ematical Economics, Vol. 24, pp. 137-146.] finds partially revealing equili bria for all economies satisfying a restrictive condition on the traders' e quilibrium information structure, we dispense with Rahi's condition, and of fer a strategy of proof that applies directly to all cases of revelation. Our proof of existence is based on homotopy methods. Given the way we const ruct our proof, we can easily link the asymmetric information model to the linear restricted participation models. We show how to apply the "Cass tric k" in asymmetric information economies to control for asset prices, even if all agents are restricted, that is, partially informed. (C) 2000 Elsevier Science S.A. All rights reserved. JEL classification: D52; D60; D82.