Ambiguity and Rational Expectations Equilibria
نویسندگان
چکیده
منابع مشابه
Ambiguity and rational expectations equilibria∗
This paper proves the existence and robustness of partially-revealing rational expectations equilibria (REE) when this equilibrium concept is expanded to allow for some agents to have preferences that display ambiguity aversion. Furthermore, the generic existence of fullyrevealing REE is proven for a commonly-used subset of the class of ambiguity averse preferences. This finding illustrates tha...
متن کاملAmbiguity and partially-revealing rational expectations equilibria∗
This paper demonstrates that when the concept of Rational Expectations Equilibrium (REE) is expanded to allow for agents whose preferences display ambiguity aversion, standard results on REE no longer hold.In particular, REE can be partially revealing over a set of parameters with positive Lebesgue measure. This finding illustrates that models with ambiguity averse investors provide a relativel...
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In this paper we examine a representative agent forecasting prices in a first-order self-referential overlapping generations model. We first consider intermediate stage learning, where agents update the forecasting rule every m periods. We show that, in theory and simulations, the learning rule does not converge to the rational expectations equilibrium (REE). We next consider two stage learning...
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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 wh...
متن کاملFunctional Rational Expectations Equilibria in Market Games
The rational expectations equilibrium has been criticized as an equilibrium concept in market game environments. Such an equilibrium may not exist generically, or it may introduce unrealistic assumptions about an economic agent's knowledge or computational ability. We define a rational expectations equilibrium as a probability measure over uncertain states of nature which exploits all available...
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ژورنال
عنوان ژورنال: The Review of Economic Studies
سال: 2011
ISSN: 0034-6527,1467-937X
DOI: 10.1093/restud/rdq032