Market efficiency and inefficiency in rational expectations equilibria
نویسندگان
چکیده
منابع مشابه
Market Efficiency and Inefficiency in Rational Expectations Equilibria: Dynamic Effects of Heterogeneous Information and Noise
The paper examines time series properties and efficiency of a securities market where disparately informed traders hold rational expectations and extract signals from the endogenous market price. Two equilibria are calculated, using a method of Sargent to handle the problem of infinite regress. When rational speculation is the sole source of potential trade, the market price reflects all privat...
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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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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...
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Forward and spot exchange rates are modelled as an unrestricted bivariate autoregression from weekly data on the New York foreign exchange market for June, 1973 to April, 1980. The null hypothesis that the forward exchange rate is an unbiased estimate of the corresponding future spot exchange rate is tested by means of a nonlinear Wald test and is rejected for all six currencies considered. The...
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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ژورنال
عنوان ژورنال: Journal of Economic Dynamics and Control
سال: 1992
ISSN: 0165-1889
DOI: 10.1016/0165-1889(92)90053-h