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A Model of Financial Markets with Endogenously Correlated Rational Beliefs

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  • Hiroyuki Nakata

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File URL: http://hdl.handle.net/10.1007/s00199-005-0068-0
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Bibliographic Info

Article provided by Springer in its journal Economic Theory.

Volume (Year): 30 (2007)
Issue (Month): 3 (March)
Pages: 431-452

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Handle: RePEc:spr:joecth:v:30:y:2007:i:3:p:431-452

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Related research

Keywords: Communication; Correlation of beliefs; Heterogeneous beliefs; Rational beliefs; D5; D82; D84; E37;

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References

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  1. Kutz, M. & Schneider, M., 1996. "Coordination and Correlation in Markov Rational Belief Equilibria," Papers, Banca Italia - Servizio di Studi 281, Banca Italia - Servizio di Studi.
  2. Kurz, Mordecai & Jin, Hehui & Motolese, Maurizio, 2003. "The role of expectations in economic fluctuations and the efficacy of monetary policy," CFS Working Paper Series 2003/42, Center for Financial Studies (CFS).
  3. Carsten Krabbe Nielsen, 1995. "Rational Belief Structures and Rational Belief Equilibrium," Discussion Papers 95-14, University of Copenhagen. Department of Economics.
  4. Epstein, Larry G & Wang, Tan, 1994. "Intertemporal Asset Pricing Under Knightian Uncertainty," Econometrica, Econometric Society, Econometric Society, vol. 62(2), pages 283-322, March.
  5. Hiroyuki Nakata, 2003. "Modelling exchange of probabilistic opinions," Economic Theory, Springer, Springer, vol. 21(2), pages 697-727, 03.
  6. Nicholas Barberis & Andrei Shleifer & Robert W. Vishny, 1997. "A Model of Investor Sentiment," NBER Working Papers 5926, National Bureau of Economic Research, Inc.
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Citations

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Cited by:
  1. Mordecai Kurz & Maurizio Motolese, 2011. "Diverse beliefs and time variability of risk premia," Economic Theory, Springer, Springer, vol. 47(2), pages 293-335, June.
  2. Mordecai Kurz, 2007. "Rational Diverse Beliefs and Economic Volatility," Discussion Papers, Stanford Institute for Economic Policy Research 06-045, Stanford Institute for Economic Policy Research.
  3. Rieger, Jörg, 2014. "Financial Transaction Tax and Financial Market Stability with Diverse Beliefs," Working Papers 0563, University of Heidelberg, Department of Economics.
  4. Hiroyuki Nakata, 2013. "Welfare effects of short-sale constraints under heterogeneous beliefs," Economic Theory, Springer, Springer, vol. 53(2), pages 283-314, June.
  5. A. A. Brown & L. C. G. Rogers, 2009. "Heterogeneous Beliefs with Finite-Lived Agents," Papers 0907.4953, arXiv.org.
  6. Céline Rochon & Gabriel Desgranges, 2011. "Conformism and Public News," IMF Working Papers 11/33, International Monetary Fund.
  7. Carsten Nielsen, 2009. "Non-stationary, stable Markov processes on a continuous state space," Economic Theory, Springer, Springer, vol. 40(3), pages 473-496, September.

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