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Government Solvency, Austerity and Fiscal Consolidation in the OECD: A Keynesian Appraisal of Transversality and No Ponzi Game Conditions.
Azizi, Karim; Canry, Nicolas; Chatelain, Jean-Bernard; … - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2013
This paper investigates the relevance of the No-Ponzi game condition for public debt (i.e. the public debt growth rates … condition for the GDP growth rate (i.e. the GDP growth rate has to be lower than the real interest rate). First, on the … than the GDP growth, it corresponds to 75% of the cases of the increases of the debt/GDP ratio but to only 43% of the cases …
Persistent link: https://www.econbiz.de/10010643643
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Dropping rational expectations
Boisdeffre, Lionel De - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2015
We had proposed earlier a general equilibrium model with incomplete financial markets and asymmetric information, where agents forecasted prices privately without rational expectations. Consistently, they anticipated idiosyncratic sets of future prices and elected probability laws on these sets,...
Persistent link: https://www.econbiz.de/10011274576
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Price revelation and existence of financial equilibrium with incomplete markets and private beliefs
Boisdeffre, Lionel De - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2015
We consider a pure exchange financial economy, where rational agents, possibly asymmetrically informed, forecast prices privately with no model of how they are determined. Therefore, agents face both ‘exogenous uncertainty’ on the future state of nature, and ‘endogenous uncertainty’ on...
Persistent link: https://www.econbiz.de/10011274577
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Price revelation and existence of equilibrium in a private belief economy.
Boisdeffre, Lionel de - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2014
We consider a pure exchange financial economy, where rational agents, possibly asymmetrically informed, forecast prices privately and, therefore, face “exogenous uncertainty”, on the future state of nature, and “endogenous uncertainty” on future prices. At a sequential equilibrium, all...
Persistent link: https://www.econbiz.de/10010812339
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On the existence of financial equilibrium when beliefs are private.
Boisdeffre, Lionel de - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2012
We consider a pure exchange financial economy, where agents, possibly asymetrically informed, face an "exogenous uncertainty", on the future state of nature, and an "endogenous uncertainty", on the future price in each random state. Namely, every agent forms private price anticipations on every...
Persistent link: https://www.econbiz.de/10010584133
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Option pricing with discrete time jump processes.
Guegan, Dominique; Ielpo, Florian; Lalaharison, Hanjarivo - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2011
In this paper we propose new option pricing models based on class of models with jump contain in the Lévy-type based models (NIG-Lévy, Merton-jump (Merton 1976) and Duan based model (Duan 2007)). By combining these different class of models with several volatility dynamics of the GARCH type,...
Persistent link: https://www.econbiz.de/10009225975
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On the rank of payoff matrices with long-term assets.
Bonnisseau, Jean-Marc; Chery, Achis - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2011
We consider a stochastic financial exchange economy with a finite date-event tree representing time and uncertainty and a nominal financial structure with possibly long-term assets. We exhibit a sufficient condition under which the payoff matrix and the full payoff matrix have the same rank....
Persistent link: https://www.econbiz.de/10009399385
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Optimism, pessimism and financial bubbles.
Wigniolle, Bertrand - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2012
This paper shows that it is possible to extend the scope of the existence of rational bubbles when uncertainty is introduced associated with rank-dependent expected utility. This RDU assumption can be viewed as a transformation of probabilities depending on the pessimism/optimism of the agent....
Persistent link: https://www.econbiz.de/10009493573
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A short note on option pricing with Lévy Processes.
Guegan, Dominique; Lalaharison, Hanjarivo - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2010
In this paper, we provide exact formulas for the pricing of European options under the risk neutral measure, whereas under the historic measure the data follow two types of models : a GARCH process with Lévy innovations, or a GARCH process with Poisson jumps. This approach aims to take...
Persistent link: https://www.econbiz.de/10008727368
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Option pricing with discrete time jump processes.
Guegan, Dominique; Ielpo, Florian; Lalaharison, Hanjarivo - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2011
In this paper we propose new option pricing models based on class of models with jump contain in the Lévy-type based models (NIG-Lévy, Merton-jump (Merton 1976) and Duan based model (Duan 2007)). By combining these different class of models with several volatility dynamics of the GARCH type,...
Persistent link: https://www.econbiz.de/10010721555