Non-Falsified Expectations, General Equilibrium Asset Pricing and the Peso Problem
We discuss the extent to which the expectation of a rare event, not present in the usual postwar sample data, but not rationally excludable from the set of possibilities - the peso problem -, can effect the equilibrium behavior of rational agents and the characteristics of market equilibrium. To that end we describe quantitatively the macroeconomic and financial properties of a standard equilibrium business cycle model modified to allow for a very small probability of a depression state.
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||Oct 1996|
|Date of revision:|
|Publication status:||Published in The Economic Journal, No.109, 1999, pp. 607-735|
|Contact details of provider:|| Postal: |
Phone: ++41 21 692.33.64
Web page: http://www.hec.unil.ch/deep/publications/cahiers/series
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:lau:crdeep:9621. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Claudine Delapierre Saudan)
If references are entirely missing, you can add them using this form.