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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. Hiroyuki Nakata, 2003. "Modelling exchange of probabilistic opinions," Economic Theory, Springer, vol. 21(2), pages 697-727, 03.
  2. Epstein, Larry G & Wang, Tan, 1994. "Intertemporal Asset Pricing Under Knightian Uncertainty," Econometrica, Econometric Society, vol. 62(2), pages 283-322, March.
  3. Carsten Krabbe Nielsen, 1995. "Rational Belief Structures and Rational Belief Equilibrium," Discussion Papers 95-14, University of Copenhagen. Department of Economics.
  4. Mordecai Kurz & Martin Schneider, 1996. "Coordination and correlation in Markov rational belief equilibria (*)," Economic Theory, Springer, vol. 8(3), pages 489-520.
  5. Barberis, Nicholas & Shleifer, Andrei & Vishny, Robert, 1998. "A model of investor sentiment," Journal of Financial Economics, Elsevier, vol. 49(3), pages 307-343, September.
  6. Kurz, Mordecai & Jin, Hehui & Motolese, Maurizio, 2005. "The role of expectations in economic fluctuations and the efficacy of monetary policy," Journal of Economic Dynamics and Control, Elsevier, vol. 29(11), pages 2017-2065, November.
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Citations

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Cited by:
  1. Mordecai Kurz & Maurizio Motolese, 2007. "Diverse Beliefs and Time Variability of Risk Premia," Discussion Papers 06-044, Stanford Institute for Economic Policy Research.
  2. A. A. Brown & L. C. G. Rogers, 2009. "Heterogeneous Beliefs with Finite-Lived Agents," Papers 0907.4953, arXiv.org.
  3. Gabriel Desgranges & Céline Rochon, 2013. "Conformism and public news," Economic Theory, Springer, vol. 52(3), pages 1061-1090, April.
  4. Carsten Nielsen, 2009. "Non-stationary, stable Markov processes on a continuous state space," Economic Theory, Springer, vol. 40(3), pages 473-496, September.
  5. Hiroyuki Nakata, 2013. "Welfare effects of short-sale constraints under heterogeneous beliefs," Economic Theory, Springer, vol. 53(2), pages 283-314, June.
  6. Mordecai Kurz, 2007. "Rational Diverse Beliefs and Economic Volatility," Discussion Papers 06-045, Stanford Institute for Economic Policy Research.
  7. Rieger, Jörg, 2014. "Financial Transaction Tax and Financial Market Stability with Diverse Beliefs," Working Papers 0563, University of Heidelberg, Department of Economics.

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