Ruling-out non-stationary stochastic rational expectations bubbles when agents are non-risk-neutral

The property of an independent forward-solution in the general solution to linear dynamic RE models is lost where a bubble component has non-zero higher-order moments and where the implicit agents of the model are not risk-neutral. If the conditional higher-order moments are nonstationary, the forward solution becomes process-inconsistent.

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Year of publication:	1998
Authors:	Roberts, Mark
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 5.1998, 7, p. 473-475
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009196045