Showing 1 - 10 of 1,048
net revenues. The result is a two price equilibrium. Equilibrium solutions applied to financial market data infer demand … inference of a market implied duration of the equilibrium. The median duration is around a minute and half with an interquartile …
Persistent link: https://www.econbiz.de/10014095796
Rational expectations equilibria (REE) assume that the ex post equilibrium price function is able to reveal ex ante … competitive equilibrium concept of rationalizable information equilibria (RIE). Our formal analysis establishes that (i) the RIE …
Persistent link: https://www.econbiz.de/10012954899
This paper studies equilibrium uniqueness in multi-asset noisy rational expectations economies with asymmetric … information, an extension of Grossman and Stiglitz (1980). We show the existence of a linear equilibrium, and prove its uniqueness …
Persistent link: https://www.econbiz.de/10013019262
This paper studies equilibrium uniqueness in standard noisy rational expectations economies with asymmetric or … differential information a la Grossman and Stiglitz (1980) and Hellwig (1980). We show that the standard linear equilibrium of … Grossman and Stiglitz (1980) is the unique equilibrium with a continuous price function. However, we also construct a tractable …
Persistent link: https://www.econbiz.de/10013031845
information is sufficiently small, a continuum of equilibrium strategies. Imperfect observation of past prices reduces the … continuum of Nash equilibria to a Strongly Rational-Expectations Equilibrium. In that equilibrium, there are two sharply …
Persistent link: https://www.econbiz.de/10011702278
In this note we generalize the Negishi approach to equilibrium. We embed a standard one-period exchange economy into a … satisfying the lower Inada condition, and prove the existence of equilibrium by working with the space of agents' first …
Persistent link: https://www.econbiz.de/10013096394
Persistent link: https://www.econbiz.de/10012667148
A single condition, limited arbitrage, is shown to be necessary and sufficient for the existence of a competitive … equilibrium and the core in economies with any number of markets, finite or infinite, with or without short sales. This extends … that in Hilbert spaces limited arbitrage is necessary and sufficient for the compactness of the Pareto frontier . Limited …
Persistent link: https://www.econbiz.de/10014045891
A single condition, limited arbitrage, is shown to be necessary and sufficient for the existence of a competitive … equilibrium and the core in economies with any number of markets, finite or infinite, with or without short sales. This extends … proving that in Hilbert spaces limited arbitrage is necessary and sufficient for the compactness of the Pareto frontier …
Persistent link: https://www.econbiz.de/10014047482
studying one equilibrium which is chosen without any further justification. In the setup of Hirshleifer, Subrahmanyam, and … equilibrium the authors study becomes progressively less informative. The other equilibrium, however, displays strikingly … counterintuitive, there is no economic reason why one equilibrium should obtain and not the other …
Persistent link: https://www.econbiz.de/10013087617