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

Author

Listed:
  • L. Broze

    (Université Libre de Bruxelles)

  • C. Gouriéroux

    (CEPREMAP)

  • A. Szafarz

    (Université Libre de Bruxelles)

Abstract

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.

Suggested Citation

  • L. Broze & C. Gouriéroux & A. Szafarz, 1986. "Bulles spéculatives et transmission d’information sur le marché d’un bien stockable," L'Actualité Economique, Société Canadienne de Science Economique, vol. 62(2), pages 166-184.
    • Handle: RePEc:ris:actuec:v:62:y:1986:i:2:p:166-184
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    6. Hansen, Lars Peter & Singleton, Kenneth J, 1982. "Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models," Econometrica, Econometric Society, vol. 50(5), pages 1269-1286, September.
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