Author: Jerome Detemple
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
We study equilibria in multi-asset and multi-agent continuous-time economies with asymmetric information and bounded rational noise traders. We establish existence of two equilibria. First, a full communication one where the informed agents' signal is disclosed to the market, and static policies are optimal. Second, a partial communication one where the signal disclosed is affine in the informed and noise traders' signals, and dynamic policies are optimal. Here, information asymmetry creates demand for two public funds, as well as a dark pool where private information trades can be implemented. Markets are endogenously complete and equilibrium returns have a three factor structure, with stochastic factors and loadings. Results are valid for constant absolute risk averse investors; general vector diffusions for fundamentals; non-linear terminal payoffs, and non-Gaussian noise trading. Asset price dynamics and public information flows are endogenous, and rational expectations equilibria are special cases of the general results.
Dynamic Noisy Rational Expectations Equilibrium with Insider Information
Author: Jerome Detemple
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
We study equilibria in multi-asset and multi-agent continuous-time economies with asymmetric information and bounded rational noise traders. We establish existence of two equilibria. First, a full communication one where the informed agents' signal is disclosed to the market, and static policies are optimal. Second, a partial communication one where the signal disclosed is affine in the informed and noise traders' signals, and dynamic policies are optimal. Here, information asymmetry creates demand for two public funds, as well as a dark pool where private information trades can be implemented. Markets are endogenously complete and equilibrium returns have a three factor structure, with stochastic factors and loadings. Results are valid for constant absolute risk averse investors; general vector diffusions for fundamentals; non-linear terminal payoffs, and non-Gaussian noise trading. Asset price dynamics and public information flows are endogenous, and rational expectations equilibria are special cases of the general results.
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
We study equilibria in multi-asset and multi-agent continuous-time economies with asymmetric information and bounded rational noise traders. We establish existence of two equilibria. First, a full communication one where the informed agents' signal is disclosed to the market, and static policies are optimal. Second, a partial communication one where the signal disclosed is affine in the informed and noise traders' signals, and dynamic policies are optimal. Here, information asymmetry creates demand for two public funds, as well as a dark pool where private information trades can be implemented. Markets are endogenously complete and equilibrium returns have a three factor structure, with stochastic factors and loadings. Results are valid for constant absolute risk averse investors; general vector diffusions for fundamentals; non-linear terminal payoffs, and non-Gaussian noise trading. Asset price dynamics and public information flows are endogenous, and rational expectations equilibria are special cases of the general results.
A Noisy Rational Expectations Equilibrium for Multi-asset Securities Markets
Author: Anat R. Admati
Publisher:
ISBN:
Category : Rational expectations (Economic theory)
Languages : en
Pages : 37
Book Description
Publisher:
ISBN:
Category : Rational expectations (Economic theory)
Languages : en
Pages : 37
Book Description
Rational Expectations Equilibrium in a Market with Restricted Access to Differential Information
Author: Belinda Ann Brewer Gillette
Publisher:
ISBN:
Category : Rational expectations (Economic theory)
Languages : en
Pages : 218
Book Description
Publisher:
ISBN:
Category : Rational expectations (Economic theory)
Languages : en
Pages : 218
Book Description
Assessing Rational Expectations 2
Author: Roger Guesnerie
Publisher: MIT Press
ISBN: 9780262262903
Category : Business & Economics
Languages : en
Pages : 498
Book Description
A theoretical assessment of the Rational Expectations Hypothesis through subjecting a collection of economic models to an "eductive stability" test. The rational expectations hypothesis (REH) dominates economic modeling in areas ranging from monetary theory, macroeconomics, and general equilibrium to finance. In this book, Roger Guesnerie continues the critical analysis of the REH begun in his Assessing Rational Expectations: Sunspot Multiplicity and Economic Fluctuations, which dealt with the questions raised by multiplicity and its implications for a theory of endogenous fluctuations. This second volume emphasizes "eductive" learning: relying on careful reasoning, agents must deduce what other agents guess, a process that differs from the standard evolutionary learning experience in which agents make decisions about the future based on past experiences. A broad "eductive" stability test is proposed that includes common knowledge and results in a unique "rationalizable expectations equilibrium." This test provides the basis for Guesnerie's theoretical assessment of the plausibility of the REH's expectational coordination, emphasizing, for different categories of economic models, conditions for the REH's success or failure. Guesnerie begins by presenting the concepts and methods of the eductive stability analysis in selected partial equilibrium models. He then explores to what extent general equilibrium strategic complementarities interfere with partial equilibrium considerations in the formation of stable expectations. Guesnerie next examines two issues relating to eductive stability in financial market models, speculation and asymmetric price information. The dynamic settings of an infinite horizon model are then taken up, and particular standard and generalized saddle-path solutions are scrutinized. Guesnerie concludes with a review of general questions and some "cautious" remarks on the policy implications of his analysis.
Publisher: MIT Press
ISBN: 9780262262903
Category : Business & Economics
Languages : en
Pages : 498
Book Description
A theoretical assessment of the Rational Expectations Hypothesis through subjecting a collection of economic models to an "eductive stability" test. The rational expectations hypothesis (REH) dominates economic modeling in areas ranging from monetary theory, macroeconomics, and general equilibrium to finance. In this book, Roger Guesnerie continues the critical analysis of the REH begun in his Assessing Rational Expectations: Sunspot Multiplicity and Economic Fluctuations, which dealt with the questions raised by multiplicity and its implications for a theory of endogenous fluctuations. This second volume emphasizes "eductive" learning: relying on careful reasoning, agents must deduce what other agents guess, a process that differs from the standard evolutionary learning experience in which agents make decisions about the future based on past experiences. A broad "eductive" stability test is proposed that includes common knowledge and results in a unique "rationalizable expectations equilibrium." This test provides the basis for Guesnerie's theoretical assessment of the plausibility of the REH's expectational coordination, emphasizing, for different categories of economic models, conditions for the REH's success or failure. Guesnerie begins by presenting the concepts and methods of the eductive stability analysis in selected partial equilibrium models. He then explores to what extent general equilibrium strategic complementarities interfere with partial equilibrium considerations in the formation of stable expectations. Guesnerie next examines two issues relating to eductive stability in financial market models, speculation and asymmetric price information. The dynamic settings of an infinite horizon model are then taken up, and particular standard and generalized saddle-path solutions are scrutinized. Guesnerie concludes with a review of general questions and some "cautious" remarks on the policy implications of his analysis.
Rational Expectations Equilibrium with Exact Dynamic Demand Functions
Author: Murugappa Krishnan
Publisher:
ISBN:
Category : Mangerial Science and Applied Economics - Penn dissertations
Languages : en
Pages : 97
Book Description
Publisher:
ISBN:
Category : Mangerial Science and Applied Economics - Penn dissertations
Languages : en
Pages : 97
Book Description
THE EXISTENCE OF FULLY RATIONAL EXPECTATIONS EQUILIBRIA WITH NOISY PRICE OBSERVATIONS
Learning and Convergence to a Noisy Rational Expectations Equilibrium in an Asset Market Model
Author: Margaritis, Dimitris
Publisher:
ISBN:
Category : Market (Economics)
Languages : en
Pages : 28
Book Description
Publisher:
ISBN:
Category : Market (Economics)
Languages : en
Pages : 28
Book Description
The Existence of Fully Rational Expectations Approximate Equilibria with Noisy Price Observations
The Existence of Rational Expectations Equilibria in a Large Economy with Noisy Price Observationsn
A Reader's Guide to Rational Expectations
Author: Deborah A. Redman
Publisher: Edward Elgar Publishing
ISBN:
Category : Business & Economics
Languages : en
Pages : 216
Book Description
The major purpose of this work is to make staying up to date with rational expectations (RE) easier for economists in government, academia and industry, as well as for students.
Publisher: Edward Elgar Publishing
ISBN:
Category : Business & Economics
Languages : en
Pages : 216
Book Description
The major purpose of this work is to make staying up to date with rational expectations (RE) easier for economists in government, academia and industry, as well as for students.