Author: Jean-Jacques LaffontPublisher:
ISBN:
Category :
Languages : fr
Pages : 49
Book Description
On the welfare analysis of rational expectations equilibria with asymmetric information
On the Welfare Analysis of Rational Expectations Equilibria with Asymetric Information
Author: Jean-Jacques LaffontEfficiency Properties of Rational Expectations Equilibria with Asymmetric Information
Author: Piero GottardiPublisher:
ISBN:
Category : Business enterprises
Languages : en
Pages : 0
Book Description
Assessing Rational Expectations 2
Author: Roger GuesneriePublisher: 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, Cost of Information and Welfare
Author: Chang-Ho YoonPublisher:
ISBN:
Category : Commerce
Languages : en
Pages : 248
Book Description
Asset Pricing under Asymmetric Information
Author: Markus K. BrunnermeierPublisher: OUP Oxford
ISBN: 0191606928
Category : Business & Economics
Languages : en
Pages : 262
Book Description
Asset prices are driven by public news and information that is often dispersed among many market participants. These agents try to infer each other's information by analyzing price processes. In the past two decades, theoretical research in financial economics has significantly advanced our understanding of the informational aspects of price processes. This book provides a detailed and up-to-date survey of this important body of literature. The book begins by demonstrating how to model asymmetric information and higher-order knowledge. It then contrasts competitive and strategic equilibrium concepts under asymmetric information. It also illustrates the dependence of information efficiency and allocative efficiency on the security structure and the linkage between both efficiency concepts. No-Trade theorems and market breakdowns due to asymmetric information are then explained, and the existence of bubbles under symmetric and asymmetric information is investigated. The remainder of the survey is devoted to contrasting different market microstructure models that demonstrate how asymmetric information affects asset prices and traders' information , which provide a theoretical explanation for technical analysis and illustrate why some investors "chase the trend." The reader is then introduced to herding models and informational cascades, which can arise in a setting where agents' decision-making is sequential. The insights derived from herding models are used to provide rational explanations for stock market crashes. Models in which all traders are induced to search for the same piece of information are then presented to provide a deeper insight into Keynes' comparison of the stock market with a beauty contest. The book concludes with a brief summary of bank runs and their connection to financial crises.
Justifying Rational Expectations
Author: Stephen MorrisPublisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
In a static economy with symmetric information, the informational requirements for competitive equilibrium are very weak: markets clear and each agent is rational. With asymmetric information, the solution concept of competitive equilibrium has been generalized to rational expectations equilibrium. But now common knowledge of market clearing and rationality is required. This paper proves versions of these results in a formal model of knowledge.
Efficiency Properties of Rational Expectations Equilibria with Asymmetric Information
Author: Piero GottardiPublisher:
ISBN:
Category : Equilibrium (Economics)
Languages : en
Pages : 60
Book Description
Author: Roberto Serrano
Author: Torben M. Andersen