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On Existence and Uniqueness of Equilibrium in a Class of Noisy Rational Expectations Models

Citations

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Cited by:

  1. Georgy Chabakauri & Kathy Yuan & Konstantinos E Zachariadis, 2022. "Multi-asset Noisy Rational Expectations Equilibrium with Contingent Claims [A Noisy Rational Expectations Equilibrium for Multi-asset Securities Markets]," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 89(5), pages 2445-2490.
  2. Zhifeng Cai, 2020. "Dynamic information acquisition and time-varying uncertainty," Departmental Working Papers 202002, Rutgers University, Department of Economics.
  3. Avdis, Efstathios, 2016. "Information tradeoffs in dynamic financial markets," Journal of Financial Economics, Elsevier, vol. 122(3), pages 568-584.
  4. Luca Bernardinelli & Paolo Guasoni & Eberhard Mayerhofer, 2022. "Informational efficiency and welfare," Mathematics and Financial Economics, Springer, volume 16, number 2, June.
  5. Dávila, Eduardo & Parlatore, Cecilia, 2023. "Volatility and informativeness," Journal of Financial Economics, Elsevier, vol. 147(3), pages 550-572.
  6. Laura Veldkamp & Anna Orlik, 2016. "Understanding Uncertainty Shocks and the Role of the Black Swan," Working Papers 16-04, New York University, Leonard N. Stern School of Business, Department of Economics.
  7. Eduardo Dávila & Cecilia Parlatore, 2021. "Trading Costs and Informational Efficiency," Journal of Finance, American Finance Association, vol. 76(3), pages 1471-1539, June.
  8. Hellwig, Christian & Albagli, Elias & Tsyvinski, Aleh, 2022. "Information Aggregation and Asymmetric Returns," CEPR Discussion Papers 15644, C.E.P.R. Discussion Papers.
  9. Ando, Sakai & Matsumura, Misaki, 2020. "Intensive margin of the Volcker rule: Price quality and welfare," Journal of Financial Intermediation, Elsevier, vol. 43(C).
  10. Peress, Joel & Schmidt, Daniel, 2021. "Noise traders incarnate: Describing a realistic noise trading process," Journal of Financial Markets, Elsevier, vol. 54(C).
  11. Jerome Detemple & Scott Robertson, 2022. "Dynamic Equilibrium with Insider Information and General Uninformed Agent Utility," Papers 2211.15573, arXiv.org, revised Mar 2024.
  12. Lou, Youcheng & Parsa, Sahar & Ray, Debraj & Li, Duan & Wang, Shouyang, 2019. "Information aggregation in a financial market with general signal structure," Journal of Economic Theory, Elsevier, vol. 183(C), pages 594-624.
  13. Lou, Youcheng & Wang, Shouyang, 2020. "A new approach to the existence and regularity of linear equilibrium in a noisy rational expectations economy," Journal of Mathematical Economics, Elsevier, vol. 90(C), pages 119-126.
  14. Cai, Zhifeng & Dong, Feng, 2023. "Public disclosure and private information acquisition: A global game approach," Journal of Economic Theory, Elsevier, vol. 210(C).
  15. Cai, Zhifeng, 2019. "Dynamic information acquisition and time-varying uncertainty," Journal of Economic Theory, Elsevier, vol. 184(C).
  16. Dai, Shangze & Fan, Fei & Zhang, Keke, 2022. "Creative Destruction and Stock Price Informativeness in Emerging Economies," MPRA Paper 113661, University Library of Munich, Germany.
  17. Elias Albagli & Christian Hellwig & Aleh Tsyvinski, 2021. "Dispersed Information and Asset Prices," Working Papers hal-03118639, HAL.
  18. Winter, Christoph, 2018. "The Impact of Heterogeneous Signals on Stock Price Predictability in a Rational Expectations Model," Working papers 2018/21, Faculty of Business and Economics - University of Basel.
  19. Buss, Adrian & Breugem, Matthijs & Peress, Joël, 2021. "What do Interest Rates Reveal about the Stock Market? A Noisy Rational Expectations Model of Stock and Bond Markets," CEPR Discussion Papers 15766, C.E.P.R. Discussion Papers.
  20. Siemroth, Christoph, 2019. "The informational content of prices when policy makers react to financial markets," Journal of Economic Theory, Elsevier, vol. 179(C), pages 240-274.
  21. Zhao Han, 2015. "A Dynamic Asset Pricing Model with Non-myopic Traders," Economics Bulletin, AccessEcon, vol. 35(3), pages 1788-1794.
  22. Albagli, Elias & Hellwig, Christian & Tsyvinski, Aleh, 2021. "Information Aggregation with Asymmetric Asset Payoffs," TSE Working Papers 21-1172, Toulouse School of Economics (TSE), revised Apr 2023.
  23. Scott Robertson, 2023. "Equilibrium with Heterogeneous Information Flows," Papers 2304.01272, arXiv.org, revised Mar 2024.
  24. Banerjee, Snehal & Breon-Drish, Bradyn, 2020. "Strategic trading and unobservable information acquisition," Journal of Financial Economics, Elsevier, vol. 138(2), pages 458-482.
  25. Laura Veldkamp, 2022. "Understanding Uncertainty Shocks and the Role of Black Swans," Finance and Economics Discussion Series 2022-083, Board of Governors of the Federal Reserve System (U.S.).
  26. Matthijs Breugem & Adrian Buss, 2017. "Institutional Investors and Information Acquisition: Implications for Asset Prices and Informational Efficiency," Carlo Alberto Notebooks 524, Collegio Carlo Alberto.
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