Endogenous Uncertainty is that component of economic risk and market volatility which is propagated within the economy by the beliefs and actions of agents. The theory of Rational Belief (see Kurz [1994]) permits rational agents to hold diverse beliefs and consequently, a Rational Belief...

This paper introduces the concept of Rational Belief Equilibrium (RBE) as a basis for a new theory of asset pricing. Rational Beliefs are probability beliefs about future economic variables which cannot be contradicted by the data generated by the economy. RBE is an equilibrium in which the...

This paper studies the effect of correlation in the rational beliefs of agents on the volatility of asset prices. We use the technique of generating variables to study stable and non-stationary processes needed to characterize rational beliefs. We then examine how the stochastic interaction...

This paper views uncertainty and economic fluctuations as being primarily endogenous and internally propagated phenomena. The most important Endogenous Uncertainty examined in this paper is price uncertainty which arises when agents do not have structural knowledge and are complelled to make...

Endogenous Uncertainty is that component of economic risk and market volatility which is propagated within the economy by the beliefs and actions of agents. The theory of Rational Belief (see Kurz [1994]) permits rational agents to hold diverse beliefs and consequently, a Rational Belief...

This paper views uncertainty and economic fluctuations as being primarily endogenous and internally propagated phenomena. The most important Endogenous Uncertainty examined in this paper is price uncertainty which arises when agents do not have structural knowledge and are compelled to make...

This paper views uncertainty and economic fluctuations as being primarily endogenous and internally propagated phenomena. The most important Endogenous Uncertainty examined in this paper is price uncertainty which arises when agents do not have structural knowledge and are compelled to make...

January 22, 2000 (Revised) <p> Endogenous Uncertainty is that component of economic risk and market volatility which is propagated within the economy by the beliefs and actions of agents. The theory of Rational Belief (see Kurz [1994]) permits rational agents to hold diverse beliefs and...</p>