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Bulles spéculatives et transmission d'information sur le marché d'un bien stockable


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  • Laurence Broze
  • Christian Gouriéroux
  • Ariane Szafarz


We are interested in the evolution of the equilibrium price of a stockable commodity which can be demanded for speculative purposes. Using a model "à la Grossman", we determine all the possible price evolutions and we analyse the effect of the structural parameters on the growth of speculative bubbles. The model can be extended to the case of agents having diverse informations. It is shown that, if they have a minimal level of information, they form necessarily the same equilibrium price expectations. Then it is possible to characterize the cases where the market is efficient. Nous étudions l’évolution du prix d’équilibre pour un bien stockable à titre spéculatif. L’impact des différents paramètres structurels sur l’amplitude des bulles spéculatives est mis en évidence. De plus le paramètre auxiliaire lié à la présence d’anticipations rationnelles est interprété comme une mesure de la confiance accordée par les agents à leurs propres anticipations. Lorsque les agents sont différenciés, notamment par le niveau de l’information dont ils disposent, nous montrons que tous les spéculateurs atteignant un seuil d’information forment les mêmes anticipations. De la sorte, on peut caractériser les cas où le marché est efficient.

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Bibliographic Info

Paper provided by ULB -- Universite Libre de Bruxelles in its series ULB Institutional Repository with number 2013/683.

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Date of creation: 1986
Date of revision:
Publication status: Published in: Actualite Economique (1986) v.62,p.166-183
Handle: RePEc:ulb:ulbeco:2013/683

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  1. Diamond, Douglas W. & Verrecchia, Robert E., 1981. "Information aggregation in a noisy rational expectations economy," Journal of Financial Economics, Elsevier, Elsevier, vol. 9(3), pages 221-235, September.
  2. Behzad T. Diba & Herschel I. Grossman, 1983. "Rational Asset Price Bubbles," NBER Working Papers 1059, National Bureau of Economic Research, Inc.
  3. Lars Peter Hansen & Thomas J. Sargent, 1979. "Formulating and estimating dynamic linear rational expectations models," Working Papers, Federal Reserve Bank of Minneapolis 127, Federal Reserve Bank of Minneapolis.
  4. Hansen, Lars Peter & Sargent, Thomas J., 1982. "Instrumental variables procedures for estimating linear rational expectations models," Journal of Monetary Economics, Elsevier, Elsevier, vol. 9(3), pages 263-296.
  5. Hellwig, Martin F., 1982. "Rational expectations equilibrium with conditioning on past prices: A mean-variance example," Journal of Economic Theory, Elsevier, Elsevier, vol. 26(2), pages 279-312, April.
  6. Hansen, Lars Peter & Singleton, Kenneth J, 1982. "Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models," Econometrica, Econometric Society, Econometric Society, vol. 50(5), pages 1269-86, September.
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Cited by:
  1. Palm, F.C. & Vogelvang, E., 1989. "The effectiveness of the international coffee agreement : a simulation study using a quarterly model of the world coffee market," Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics 0061, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.


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