Ambiguity and partially-revealing rational expectations equilibria

This paper demonstrates that when the concept of Rational Expec- tations Equilibrium (REE) is expanded to allow for agents whose pref- erences display ambiguity aversion, standard results on REE no longer hold.In particular, REE can be partially revealing over a set of parame- ters with positive Lebesgue measure. This nding illustrates that models with ambiguity averse investors provide a relatively tractable framework through which partial information revelation may be studied in a general equilibrium setting. Constructive examples provide further insight into the properties of these equilibria.