Proof of the Existence of Speculative Equilibria
The existence of speculative equilibria is proven in a simple overlapping generations, infinite horizon economy. In equilibrium, all agents bid assets according to increasing functions of private information which is uncorrelated with the fundamental value (dividend stream) of the asset. This is a unique best response to the strategies of the other agents, which implies that speculative information is valuable.
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- James Peck, 1986.
"On the Existence of Sunspot Equilibria in an Overlapping Generations Model,"
678, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
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"Equilibrium Bank Runs,"
01-10r, Cornell University, Center for Analytic Economics.
- repec:bla:restud:v:58:y:1991:i:5:p:1011-29 is not listed on IDEAS
- Forges, Francoise & Peck, James, 1995.
"Correlated Equilibrium and Sunspot Equilibrium,"
Springer, vol. 5(1), pages 33-50, January.
- Forges, F., 1991. "Correlated equilibrium and sunspot equilibrium," CORE Discussion Papers 1991053, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Forges, F. & Peck, J., . "Correlated equilibrium and sunspot equilibrium," CORE Discussion Papers RP 1140, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Azariadis, Costas, 1981. "Self-fulfilling prophecies," Journal of Economic Theory, Elsevier, vol. 25(3), pages 380-396, December.
- Spear, Stephen E, 1989. "Are Sunspots Necessary?," Journal of Political Economy, University of Chicago Press, vol. 97(4), pages 965-73, August.
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- Cass, David & Shell, Karl, 1983. "Do Sunspots Matter?," Journal of Political Economy, University of Chicago Press, vol. 91(2), pages 193-227, April.
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