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Rational expectations and stochastic systems

Author

Listed:
  • Jørgen Vitting Andersen

    (Centre d'Economie de la Sorbonne)

  • Roy Cerqueti

    (University of Macerata, Department of Economics and Law - Italy)

  • Giulia Rotundo

    (Sapienza University of Rome, Department of Economics, Italy)

Abstract

This paper proposes a stochastic model for describing rational expectations. The context is systemic risk, with interconnected components of a unified system. The evolution dynamics leading to the failure of the system is explored either under a theoretical point of view as well as through an extensive scenario analysis

Suggested Citation

  • Jørgen Vitting Andersen & Roy Cerqueti & Giulia Rotundo, 2017. "Rational expectations and stochastic systems," Documents de travail du Centre d'Economie de la Sorbonne 17060, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Oct 2019.
    • Handle: RePEc:mse:cesdoc:17060
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    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G01 - Financial Economics - - General - - - Financial Crises

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