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Indeterminacy of rational expectations equilibria in sequential financial markets

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  • Donati, Paola

Abstract

JEL Classification: D52, D80, D82, E52

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Bibliographic Info

Paper provided by European Central Bank in its series Working Paper Series with number 0262.

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Date of creation: Sep 2003
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Handle: RePEc:ecb:ecbwps:20030262

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Keywords: Incomplete markets; indeterminacy; Information revelation; monetary policy;

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References

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  1. Rahi, Rohit, 1995. "Partially revealing rational expectations equilibria with nominal assets," Journal of Mathematical Economics, Elsevier, vol. 24(2), pages 137-146.
  2. Pietra, Tito, 1992. "The Structure of the Set of Sunspot Equilibria in Economies with Incomplete Financial Markets," Economic Theory, Springer, vol. 2(3), pages 321-40, July.
  3. K. Mischel & H.M. Polemarchakis & P. Siconolfi, 1989. "Noninformative Rational Expectations Equilibria When Assets are Nominal: An Example," Discussion Paper Serie A 260, University of Bonn, Germany.
  4. Radner, Roy, 1979. "Rational Expectations Equilibrium: Generic Existence and the Information Revealed by Prices," Econometrica, Econometric Society, vol. 47(3), pages 655-78, May.
  5. Werner, Jan, 1990. "Structure of financial markets and real indeterminacy of equilibria," Journal of Mathematical Economics, Elsevier, vol. 19(1-2), pages 217-232.
  6. Pietra, Tito & Siconolfi, Paolo, 1996. "Equilibrium in Economies with Financial Markets: Uniqueness of Expectations and Indeterminacy," Journal of Economic Theory, Elsevier, vol. 71(1), pages 183-208, October.
  7. David Cass, 2006. "Competitive Equilibrium with Incomplete Financial Markets," PIER Working Paper Archive 06-010, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  8. James Tobin, 1956. "Liquidity Preference as Behavior Towards Risk," Cowles Foundation Discussion Papers 14, Cowles Foundation for Research in Economics, Yale University.
  9. Stahn, Hubert, 2000. "A remark on rational expectation equilibria with incomplete markets and real assets," Journal of Mathematical Economics, Elsevier, vol. 33(4), pages 441-448, May.
  10. Grossman, Sanford J & Stiglitz, Joseph E, 1980. "On the Impossibility of Informationally Efficient Markets," American Economic Review, American Economic Association, vol. 70(3), pages 393-408, June.
  11. Geanakoplos, John & Mas-Colell, Andreu, 1989. "Real indeterminacy with financial assets," Journal of Economic Theory, Elsevier, vol. 47(1), pages 22-38, February.
  12. Hirshleifer, Jack, 1971. "The Private and Social Value of Information and the Reward to Inventive Activity," American Economic Review, American Economic Association, vol. 61(4), pages 561-74, September.
  13. Polemarchakis, H M & Siconolfi, P, 1993. "Asset Markets and the Information Revealed by Prices," Economic Theory, Springer, vol. 3(4), pages 645-61, October.
  14. Citanna, Alessandro & Villanacci, Antonio, 2000. "Existence and regularity of partially revealing rational expectations equilibrium in finite economies," Journal of Mathematical Economics, Elsevier, vol. 34(1), pages 1-26, August.
  15. Polemarchakis, H. M. & Seccia, G., 2000. "A Role for Monetary Policy when Prices Reveal Information: An Example," Journal of Economic Theory, Elsevier, vol. 95(1), pages 107-115, November.
  16. Balasko, Yves & Cass, David, 1989. "The Structure of Financial Equilibrium with Exogenous Yields: The Case of Incomplete Markets," Econometrica, Econometric Society, vol. 57(1), pages 135-62, January.
  17. Balasko, Yves & Cass, David & Siconolfi, Paolo, 1990. "The structure of financial equilibrium with exogenous yields : The case of restricted participation," Journal of Mathematical Economics, Elsevier, vol. 19(1-2), pages 195-216.
  18. DEBREU, Gérard, . "Economies with a finite set of equilibria," CORE Discussion Papers RP -67, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  19. Roy Radner, 1997. "Rational Expectations Equilibrium: Generic Existence and the Information Revealed by Prices," Levine's Working Paper Archive 1594, David K. Levine.
  20. Pietra, Tito & Siconolfi, Paolo, 1998. "Fully revealing equilibria in sequential economies with asset markets," Journal of Mathematical Economics, Elsevier, vol. 29(2), pages 211-223, March.
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Cited by:
  1. Ascari, Guido & Rankin, Neil, 2007. "Perpetual youth and endogenous labor supply: A problem and a possible solution," Journal of Macroeconomics, Elsevier, vol. 29(4), pages 708-723, December.

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