Rational expectations equilibrium
Rational expectations equilibrium with transaction costs in financial markets
... to rational expectations equilibrium with transaction costs in the framework of Grossman and Stiglitz (1980) [On the impossibility of informationally efficient ...
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Relative Performance Concerns, Attention Allocation and Complementarities in Information Acquisition
... partial equilibrium so agents ignore the information included in the price, I consider the noisy rational expectations equilibrium with CARA utility function so agents will learn from ...
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Pricing assets in a perpetual youth model
... initial equilibrium price ...foresight equilibrium price ...a rational expectations equilibrium in which non-fundamental shocks cause asset price ...In equilibrium, their beliefs ...
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Rational expectations in urban economics
... general equilibrium model demonstrates the existence of an open and dense subset of standard economies that possess fully-revealing rational expectations ...the rational expectations ...
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A price mechanism in economies with asymmetric information
... the rational expectations equilibrium model (Radner (1979)), in the framework of Walrasian expectation equilibrium, it is assumed that prices do not reveal any private information ex ...
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Rational expectations in urban economics
... This paper shows that if one household has the information about a spe- cific city, if he doesn’t live there, the housing price in that city will not reveal his information. If a household lives in the city about which ...
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Uncertainty and the Zero Lower Bound: A Theoretical Analysis
... of rational expectations equilibria in a standard stochastic New Keynesian model with the zero lower bound ...stationary rational expectations equilibrium when the volatility of the ...
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Rational Expectations Equilibria: Existence and Representation
... agents’ expectations of how equilibrium prices are related to initial information are not ...a rational expectations equilibrium by imposing on agents the Bayesian (subjective expected ...
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Rational Expectations in Urban Economics
... Under perfect recall, since the final prices generically reveal all the infor- mation carried by the test prices, the process by which we obtain the final prices using test prices is just a way of proving the existence ...
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Asset Market Dynamics in Equilibrium Models with Heterogeneous Agents: Analytical Results
... general equilibrium asset pricing model, the exis- tence of a rational expectations equilibrium (REE) im- plies that each trader solves a utility-optimization prob- lem that incorporates all ...
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Rational Expectations in Urban Economics
... revealing rational expectations equilibrium is ...revealing equilibrium is ...general equilibrium models, there is also an open subset of urban economies with only fully revealing ...
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GMM estimation with noncausal instruments under rational expectations
... a rational expectations equilibrium and are in fact prediction ...of rational expectations, as prediction errors are assumed to be uncorrelated with all lagged ...
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Effects of inflation on the housing market under rational expectations
... the asset price of housing expected to prevail at time t+1 where the expectation is formed at time t demand for housing services rental demand price of housing services household income [r] ...
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Stabilization and commitment : forward guidance in economies with rational expectations
... The literature on forward guidance is, at this point, rather limited and restricted to a few specific problems or circumstances. A natural concern is whether forward guidance statements have had a perceptible impact on ...
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Mixed Equilibrium: When Burning Money is Rational
... remaining equilibrium will be (NBX, WW), ...preferred equilibrium point in the ...a equilibrium point, and if this player can self-sacrifice (burning utility), then, based on the forward induction ...
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New estimates of the hybrid US Phillips curve
... Empirical studies on the new Keynesian Phillips curve (NKPC) reached different conclusions on the relative importance of forward looking and backward looking expectations. It is important to re-examine this ...
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The unbiasedness and efficiency tests of the rational expectations hypothesis
... This study examines the direct tests of the Rational Expectations Hypothesis (REH). Pesando (1975) employs the Livingston survey data of business economists and reaches the rejection of rationality and ...
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The disappointment of expectations and the theory of fluctuations
... The usefulness of splitting the REH into these dimensions becomes clear when it comes to the so-called “policy ineffectiveness proposition” (Sargent and Wallace, 1975, 1976). According to this proposition, the mere ...
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Equity Pricing: Perfect Foresight versus Rational Expectations
... best unbiased estimate of future prices, given the existing information available to market participants. Further, asset prices fluctuations over time should either converge to the perfect foresight price where shocks ...
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Higher order approximations of stochastic rational expectations models
... We have presented a method of finding asymptotic expansion of solution to stochastic rational expectations models up to any order. We have obtained relatively simple represen- tation of matrix equations ...
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