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Determinacy and Stability under Learning of Rational Expectations Equilibria
Gauthier, Stéphane - HAL - 2002
This paper studies relationships between the local determinacy of a stationary equilibrium in the perfect foresight dynamics, and its local stability in dynamics arising from econometric learning procedures. Attention is focused on linear scalar economies where agents forecast only one period...
Persistent link: https://www.econbiz.de/10010899082
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Herd behavior in consumer inflation expectations - Evidence from the French household survey
Karpf, Andreas - HAL - 2013
This article investigates whether the formation of individual inflation expectations is biased towards a consensus and … individual level inflation expectations is proposed using a Markov chain Monte Carlo Hierarchical Bayesian estimation method …. This method is applied to micro survey data about inflation expectations of households from the monthly French household …
Persistent link: https://www.econbiz.de/10011025927
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Nominal Uniqueness and Money Non-neutrality in the Limit-Price Exchange Process
Giraud, Gaël; Tsomocos, Dimitrios P. - HAL - 2010
nominal variables. Money is not neutral, either in the short-run or long-run, and a localized version of the quantity theory … policy is ineffective ; above this threshold inflation rises. Finally, market liquidity, measured through the speed of real …
Persistent link: https://www.econbiz.de/10010603678
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Oskar Lange or how IS-LM came to be interpreted as a Walrasian model
Rubin, Goulven - HAL - 2014
A few years after the publication of The General Theory, a number of economists began to present Keynes's model … foundations of Keynes's theory. …
Persistent link: https://www.econbiz.de/10010899400
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Comparing Expectational Stability Criteria in Dynamic Models: A Preparatory Overview
Gauthier, Stéphane; Guesnerie, Roger - HAL - 2005
This paper compares the most significant expectational stability criteria that have been used to assess the plausibility of perfect foresight trajectories in forward-looking dynamical systems: determinacy of trajectories, absence of neighbour sunspot trajectories, and convergence of " evolutive...
Persistent link: https://www.econbiz.de/10010570519
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Price revelation and existence of equilibrium in a private belief economy
Boisdeffre, Lionel De - HAL - 2013
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 agents...
Persistent link: https://www.econbiz.de/10011025840
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Asymmetric Information and Rationalizability
Desgranges, Gabriel; Gauthier, Stéphane - HAL - 2013
We study how asymmetric information affects the set of rationalizable solutions in a linear setup where the outcome is determined by forecasts about this same outcome. The unique rational expectations equilibrium is also the unique rationalizable solution when the sensitivity of the outcome to...
Persistent link: https://www.econbiz.de/10011025881
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Privileged information exacerbates market volatility
Desgranges, Gabriel; Gauthier, Stéphane - HAL - 2011
We study how asymmetric information affects market volatility in a linear setup where the outcome is determined by forecasts about this same outcome. The unique rational expectations equilibrium will be stable when it is the only rationalizable solution. It has been established in the literature...
Persistent link: https://www.econbiz.de/10010635137
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A theoretical framework for trading experiments
Soumare, Maxence; Andersen, Jørgen Vitting; Bouchard, … - HAL - 2012
A general framework is suggested to describe human decision making in a certain class of experiments performed in a trading laboratory. We are in particular interested in discerning between two different moods, or states of the investors, corresponding to investors using fundemental investment...
Persistent link: https://www.econbiz.de/10010635200
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Asymmetric Information and Rationalizability
Desgranges, Gabriel; Gauthier, Stéphane - HAL - 2013
We study how asymmetric information affects the set of rationalizable solutions in a linear setup where the outcome is determined by forecasts about this same outcome. The unique rational expectations equilibrium is also the unique rationalizable solution when the sensitivity of the outcome to...
Persistent link: https://www.econbiz.de/10010775838