Self-Fulfilling Mechanisms and Rational Expectations

We introduce a class of communication equilibria, which we call self-fulfilling mechanisms, and show that they provide a game-theoretic foundation to rational expectations equilibria. LetEbe an exchange economy with differential information. We associate a strategic market gameΓ(E) withE. We prove that the allocations achieved through a self-fulfilling mechanism inΓ(E) coincide with the rational expectations equilibrium allocations inE. In order to understand how self-fulfilment can be realized in a dynamic framework, we investigate the relationship between self-fulfilling mechanisms inΓ(E) and Nash equilibria of theT-stage repeated gameΓT(E)