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A Model of Financial Markets with Endogenously Correlated Rational Beliefs

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  • Hiroyuki Nakata

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Abstract

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  • Hiroyuki Nakata, 2007. "A Model of Financial Markets with Endogenously Correlated Rational Beliefs," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 30(3), pages 431-452, March.
  • Handle: RePEc:spr:joecth:v:30:y:2007:i:3:p:431-452 DOI: 10.1007/s00199-005-0068-0
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    References listed on IDEAS

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    1. Hiroyuki Nakata, 2003. "Modelling exchange of probabilistic opinions," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), pages 697-727.
    2. 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.
    3. Barberis, Nicholas & Shleifer, Andrei & Vishny, Robert, 1998. "A model of investor sentiment," Journal of Financial Economics, Elsevier, vol. 49(3), pages 307-343, September.
    4. Carsten Krabbe Nielsen, 1996. "Rational belief structures and rational belief equilibria (*)," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), pages 399-422.
    5. repec:hrv:faseco:30747159 is not listed on IDEAS
    6. Epstein, Larry G & Wang, Tan, 1994. "Intertemporal Asset Pricing Under Knightian Uncertainty," Econometrica, Econometric Society, vol. 62(2), pages 283-322, March.
    7. Mordecai Kurz & Martin Schneider, 1996. "Coordination and correlation in Markov rational belief equilibria (*)," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 8(3), pages 489-520.
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    Citations

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    Cited by:

    1. Gabriel Desgranges & Céline Rochon, 2013. "Conformism and public news," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 52(3), pages 1061-1090, April.
    2. A. A. Brown & L. C. G. Rogers, 2009. "Heterogeneous Beliefs with Finite-Lived Agents," Papers 0907.4953, arXiv.org.
    3. Carsten Nielsen, 2009. "Non-stationary, stable Markov processes on a continuous state space," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 40(3), pages 473-496, September.
    4. Mordecai Kurz, 2007. "Rational Diverse Beliefs and Economic Volatility," Discussion Papers 06-045, Stanford Institute for Economic Policy Research.
    5. Rieger, Jörg, 2014. "Financial Transaction Tax and Financial Market Stability with Diverse Beliefs," Working Papers 0563, University of Heidelberg, Department of Economics.
    6. Mordecai Kurz & Maurizio Motolese, 2011. "Diverse beliefs and time variability of risk premia," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 47(2), pages 293-335, June.
    7. Hiroyuki Nakata, 2013. "Welfare effects of short-sale constraints under heterogeneous beliefs," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 53(2), pages 283-314, June.
    8. Maurizio MOTOLESE & NAKATA Hiroyuki, 2016. "Endogenous Fluctuations and Social Welfare under Credit Constraints and Heterogeneous Beliefs," Discussion papers 16082, Research Institute of Economy, Trade and Industry (RIETI).

    More about this item

    Keywords

    Communication; Correlation of beliefs; Heterogeneous beliefs; Rational beliefs; D5; D82; D84; E37;

    JEL classification:

    • D5 - Microeconomics - - General Equilibrium and Disequilibrium
    • D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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