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Noise Traders
Dow, James - 2006
Noise traders are agents whose theoretical existence has been hypothesized as a way of solving certain fundamental problems in Financial Economics. We briefly review the literature on noise traders. The is an entry for The New Palgrave: A Dictionary of Economics, 2nd Edition (Palgrave Macmillan:...
Persistent link: https://www.econbiz.de/10012466412
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The Survival of Noise Traders in Financial Markets
De Long, J. Bradford - 1988
We use the revised estimates of U.S. GNP constructed by Christina Romer (1989) to assess the time-series properties of U.S. output per capita over the past century. We reject at conventional significance levels the null that output is a random walk in favor of the alternative that output is a...
Persistent link: https://www.econbiz.de/10012476346
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Competitiveness, Realignment, and Speculation : The Role of Financial Markets
Obstfeld, Maurice - 1988
Current and planned measures liberalizing the external capital accounts of France and Italy call into question the continued viability of the policy of periodic exchange-rate realignment followed to date in the European Monetary System (EMS). This paper is intended as a first step in studying...
Persistent link: https://www.econbiz.de/10012476528
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Monetary Exchange in Over-the-Counter Markets : A Theory of Speculative Bubbles, the Fed Model, and Self-fulfilling Liquidity Crises
Lagos, Ricardo - 2015
. The theory predicts that asset prices carry a speculative premium that reflects the asset's marketability and depends on … anomalous. The theory also exhibits rational expectations equilibria with recurring belief driven events that resemble liquidity …
Persistent link: https://www.econbiz.de/10012457141
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On the Adequacy or Inadequacy of Keynesian Balance-of-Payments Theory : A Rejoinder
Buiter, Willem H. - 1982
expansion appears to be the source of Kuska's erroneous indictment of "Keynesian" balance-of-payments theory.We also establish …
Persistent link: https://www.econbiz.de/10012478073
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Keynes and the Dollar in 1933
Edwards, Sebastian - 2017
On December 1933, John Maynard Keyes published an open letter to President Roosevelt, where he wrote: "The recent gyrations of the dollar have looked to me more like a gold standard on the booze than the ideal managed currency of my dreams." In this paper I use high frequency data to investigate...
Persistent link: https://www.econbiz.de/10012455540
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Do We Really Know That Financial Markets Are Efficient?
Summers, Lawrence H. - 1982
also suggests that speculation is unlikely to insure rational valuations, since similar problems of identification plague …
Persistent link: https://www.econbiz.de/10012478111
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The Macroeconomics of Financial Speculation
Simsek, Alp - National Bureau of Economic Research - 2021
I review the literature on financial speculation driven by belief disagreements from a macro- economics perspective. To …-selling constraints, speculation can generate over- valuation and speculative bubbles. Leverage can substantially inflate speculative …, speculation induces pro- cyclical asset valuation. When speculation affects the price of aggregate assets, it also influences …
Persistent link: https://www.econbiz.de/10012482642
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Trading on Sunspots
Jovanovic, Boyan - 2014
In a model with multiple Pareto-ranked equilibria we add trade in assets that pay based on the realization of a sunspot. Asset trading restricts the equilibrium set in a way that raises welfare by eliminating equilibria with a high likelihood of disasters. When the probability of a disaster is...
Persistent link: https://www.econbiz.de/10012457853
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Carry
Koijen, Ralph S.J. - 2013
A security's expected return can be decomposed into its "carry" and its expected price appreciation, where carry can be measured in advance without an asset pricing model. We find that carry predicts returns both in the cross section and time series for a variety of different asset classes that...
Persistent link: https://www.econbiz.de/10012459336