Coordination and Correlation in Markov Rational Belief Equilibria
AbstractThis paper studies the effect of correlation in the retional beliefs of agents on the volatility of asset prices.
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Bibliographic InfoPaper provided by Banca Italia - Servizio di Studi in its series Papers with number 281.
Length: 52 pages
Date of creation: 1996
Date of revision:
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FINANCIAL MARKET; ASSET PRICES;
Other versions of this item:
- Mordecai Kurz & Martin Schneider, 1996. "Coordination and correlation in Markov rational belief equilibria (*)," Economic Theory, Springer, vol. 8(3), pages 489-520.
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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- Mordecai Kurz & Maurizio Motolese, 2011.
"Diverse beliefs and time variability of risk premia,"
Springer, vol. 47(2), pages 293-335, June.
- Mordecai Kurz & Maurizio Motolese, 2007. "Diverse Beliefs and Time Variability of Risk Premia," Discussion Papers 06-044, Stanford Institute for Economic Policy Research.
- Kurz, Mordecai, 2008. "Beauty contests under private information and diverse beliefs: How different?," Journal of Mathematical Economics, Elsevier, vol. 44(7-8), pages 762-784, July.
- Mordecai Kurz & Hehui Jin & Maurizio Motolese, 2005. "Determinants of stock market volatility and risk premia," Annals of Finance, Springer, vol. 1(2), pages 109-147, 07.
- Kurz, Mordecai, 2006. "Beauty contests under private information and diverse beliefs: how different?," MPRA Paper 233, University Library of Munich, Germany, revised Apr 2006.
- Hiroyuki Nakata, 2007. "A Model of Financial Markets with Endogenously Correlated Rational Beliefs," Economic Theory, Springer, vol. 30(3), pages 431-452, March.
- Peter Hammond & Yeneng Sun, 2001.
"Monte Carlo Simulation of Macroeconomic Risk with a Continuum of Agents: The Symmetric Case,"
01015, Stanford University, Department of Economics.
- Peter J. Hammond & Yeneng Sun, 2003. "Monte Carlo simulation of macroeconomic risk with a continuum of agents: the symmetric case," Economic Theory, Springer, vol. 21(2), pages 743-766, 03.
- Orlando Gomes, 2006.
"Heterogeneous Researchers in a Two-Sector Representative Consumer Economy,"
Revista Brasileira de Economia,
FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 60(2), pages 113-132, November.
- Orlando Gomes, 2004. "Heterogeneous Researchers in a Two-Sector Representative Consumer Economy," GE, Growth, Math methods 0409009, EconWPA.
- Hiroyuki Nakata, 2013. "Welfare effects of short-sale constraints under heterogeneous beliefs," Economic Theory, Springer, vol. 53(2), pages 283-314, June.
- 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).
- 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.
- Mordecai Kurz, 1997. "Social States of Belief and the Determinants of the Equity Risk Premium in A Rational Belief Equilibrium," Working Papers 97026, Stanford University, Department of Economics.
- Mordecai Kurz, 2007. "Rational Diverse Beliefs and Economic Volatility," Discussion Papers 06-045, Stanford Institute for Economic Policy Research.
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