Download or read book A Large market Rational Expectations Equilibrium Model written by Xavier Vives and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a market with asymmetric information where a privately revealing equilibrium obtains in a competitive framework and where incentives to acquire information are preserved. The equilibrium is efficient, and the paradoxes associated with fully revealing rational expectations equilibria are precluded without resorting to noise traders. The rate at which equilibria in finite replica markets with n traders approach the equilibrium in the continuum economy is 1/[square root]n, slower than the rate of convergence to price-taking behavior (1/n); and the per capita welfare loss is dissipated at the rate 1/n, slower than the rate at which inefficiency due to market power vanishes (1/n[squared]). The model admits a reinterpretation in which behavioral traders coexist with rational traders, and it allows us to characterize the amount of induced mispricing.

Download or read book A Large market Rational Expectations Equilibrium Model written by Xavier Vives and published by . This book was released on 2011 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book A Large market Rational Expectations Eqilibrium Model written by Xavier Vives and published by . This book was released on 2011 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Assessing Rational Expectations 2 written by Roger Guesnerie and published by MIT Press. This book was released on 2005-02-18 with total page 498 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book A Rational Expectations Approach to Macroeconometrics written by Frederic S. Mishkin and published by University of Chicago Press. This book was released on 2007-11-01 with total page 184 pages. Available in PDF, EPUB and Kindle. Book excerpt: A Rational Expectations Approach to Macroeconometrics pursues a rational expectations approach to the estimation of a class of models widely discussed in the macroeconomics and finance literature: those which emphasize the effects from unanticipated, rather than anticipated, movements in variables. In this volume, Fredrick S. Mishkin first theoretically develops and discusses a unified econometric treatment of these models and then shows how to estimate them with an annotated computer program.

Download or read book Rational Expectations Equilibrium in a Market with Restricted Access to Differential Information written by Belinda Ann Brewer Gillette and published by . This book was released on 1991 with total page 218 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Rational Expectations Equilibrium in a Large Economy with Segmented Asset Markets written by Buddhavarapu Sailesh Ramamurtie and published by . This book was released on 1990 with total page 378 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book A Reader s Guide to Rational Expectations written by Deborah A. Redman and published by Edward Elgar Publishing. This book was released on 1992 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Competitive Rational Expectations Equilibria without Apology written by Alex Kovalenkov and published by . This book was released on 2013 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: In a standard financial market model with asymmetric information with a finite number N of risk-averse informed traders, competitive rational expectations equilibria provide a good approximation to strategic equilibria as long as N is not too small: equilibrium prices in each situation converge to each other at a rate of 1/N as the market becomes large. The approximation is particularly good when the informationally adjusted risk bearing capacity of traders is not very large. This is not the case if informed traders are close to risk neutral. Both equilibria converge to the competitive equilibrium of an idealized limit continuum economy as the market becomes large at a slower rate of 1/(square root of N) and, therefore, the limit equilibrium need not be a good approximation of the strategic equilibrium in moderately large markets.

Download or read book A Rational Expectations Equilibrium Model of Technical Change written by Paul Francis O'Brien and published by . This book was released on 1986 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Rational Expectations Equilibrium in an Economy with Segmented Capital Asset Markets written by Amin H. Amershi and published by . This book was released on 1995 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Rational Expectations Equilibria Product Spectra and Warranties in a Durable Goods Market written by William James Carmody and published by . This book was released on 1982 with total page 262 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book A Rational Expectations Equilibrium with Informative Trading Volume written by Jan Schneider and published by . This book was released on 2009 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: A large number of empirical studies find that trading volume contains information about the distribution of future returns. While these studies indicate that observing volume is helpful to an outside observer of the economy it is not clear how investors within the economy can learn from trading volume. In this paper I show how trading volume helps investors to evaluate the precision of the aggregate information in the price. I construct a model that offers a closed form solution of a rational expectations equilibrium where all investors learn from (1) private signals, (2) the market price and (3) aggregate trading volume.

Download or read book Rational Expectations written by Graham Keith Shaw and published by . This book was released on 1984 with total page 150 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Rational Expectations and Efficiency in Futures Markets written by Barry Goss and published by Routledge. This book was released on 2005-10-09 with total page 240 pages. Available in PDF, EPUB and Kindle. Book excerpt: Do traders in futures markets make use of all relevant information and is this reflected in prices? This collection of original essays by a team of international economists considers these and other questions central to futures markets.

Download or read book Market Games with Asymmetric Information written by Vijay Krishna and published by . This book was released on 1983 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Price Expectations in Goods and Financial Markets written by François Gardes and published by Edward Elgar Publishing. This book was released on 2000 with total page 322 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economists and scholars in related fields discuss the concept of rationality of expectations from both a theoretical and an empirical point of view, and at both individual and collective levels. Concerning the first aspect, the book focuses on how agents collect and process information and how market opinion is formed. Concerning the second aspect, it presents studies based on individual price expectations and on the consensus revealed by survey data. Contributors analyze price expectations in a variety of markets, periods, and countries, paying special attention to financial markets which have represented the main field of study over the last ten years. Annotation copyrighted by Book News Inc., Portland, OR