A Privately Revealing Rational Expectations Equilibrium For The Futures Market PDF Download
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Author | : Demers, Fanny |
Publisher | : |
Total Pages | : 25 |
Release | : 1987 |
Genre | : Speculation |
ISBN | : |
Download A Privately Revealing Rational Expectations Equilibrium for the Futures Market Book in PDF, ePub and Kindle
Author | : Barry Goss |
Publisher | : Routledge |
Total Pages | : 240 |
Release | : 2005-10-09 |
Genre | : Business & Economics |
ISBN | : 1134975201 |
Download Rational Expectations and Efficiency in Futures Markets Book in PDF, ePub and Kindle
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.
Author | : George Feiger |
Publisher | : |
Total Pages | : 40 |
Release | : 1977 |
Genre | : Commodity exchanges |
ISBN | : |
Download Divergent Rational Expectations Equilibrium in a Dynamic Model of a Futures Market Book in PDF, ePub and Kindle
Author | : Jerome L. Stein |
Publisher | : |
Total Pages | : 37 |
Release | : 1987 |
Genre | : Commodity exchanges |
ISBN | : |
Download Futures Markets Accelerate the Convergence to a Rational Expectations Equilibrium Book in PDF, ePub and Kindle
Author | : Roger Guesnerie |
Publisher | : MIT Press |
Total Pages | : 498 |
Release | : 2005-02-18 |
Genre | : Business & Economics |
ISBN | : 9780262262903 |
Download Assessing Rational Expectations 2 Book in PDF, ePub and Kindle
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.
Author | : Fanny Demmers |
Publisher | : |
Total Pages | : |
Release | : 1987 |
Genre | : |
ISBN | : |
Download A Privately Revealing Rational Expectation Equlilibrium for the Future Market Book in PDF, ePub and Kindle
Author | : Rohit Rahi |
Publisher | : |
Total Pages | : 134 |
Release | : 1993 |
Genre | : |
ISBN | : |
Download Information Revelation in Financial Markets Book in PDF, ePub and Kindle
Author | : Buddhavarapu Sailesh Ramamurtie |
Publisher | : |
Total Pages | : 378 |
Release | : 1990 |
Genre | : |
ISBN | : |
Download Rational Expectations Equilibrium in a Large Economy with Segmented Asset Markets Book in PDF, ePub and Kindle
Author | : Jan Schneider |
Publisher | : |
Total Pages | : 49 |
Release | : 2009 |
Genre | : |
ISBN | : |
Download A Rational Expectations Equilibrium with Informative Trading Volume Book in PDF, ePub and Kindle
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.
Author | : Amin H. Amershi |
Publisher | : |
Total Pages | : 76 |
Release | : 1995 |
Genre | : Capital market |
ISBN | : |
Download Rational Expectations Equilibrium in an Economy with Segmented Capital Asset Markets Book in PDF, ePub and Kindle