BazEkon - Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie

BazEkon home page

Meny główne

Dudek Maciej K. (Szkoła Główna Handlowa w Warszawie)
Volatility as a Choice,
Prace i Materiały Instytutu Rozwoju Gospodarczego / Szkoła Główna Handlowa, 2013, nr 93, s. 71-122, rys., bibliogr. 23 poz.
Tytuł własny numeru
Expectations and Forecasting
Słowa kluczowe
Zmienność, Racjonalność, Podmioty gospodarcze, Czynniki endogeniczne
Variability, Rationality, Business entity, Endogenous factors
Human beliefs, while always remaining in equilibrium, serve as an equilibrium selector and determine the degree of aggregate volatility. Fully rational and risk averse economic agents expect macro-level dynamics to be characterised by a specific degree of volatility. Given this expectation the agents respond rationally by building up higher buffer stock savings in response to perceived volatility. The economy, given the change in individual behaviour, responds, the process of physical capital formation is endogenously altered, and it displays volatility that is in line with the initial expectation of rational economic agents. As a result, the beliefs, while being self-confirming, determine endogenously the degree of volatility at the aggregate level.(original abstract)
Dostępne w
Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka Szkoły Głównej Handlowej w Warszawie
Biblioteka Główna Uniwersytetu Ekonomicznego w Katowicach
Biblioteka Główna Uniwersytetu Ekonomicznego we Wrocławiu
  1. Angelatos, G.-M., La'O, J. (2012). Sentiments. Econometrica, forthcoming.
  2. Bloom, N. (2009). The impact of uncertainty shocks." Econometrica", 77, 623-685.
  3. Brock, W. A., Hommes, C. H. (1997). A rational route to randomness. "Econometric"a, 65, 1059-1095.
  4. Calvet, L. (2001). Incomplete markets and volatility. "Journal of Economic Theory", 98, 295-338.
  5. Camerer, C. F., Ho, T.-H., Chong, J.-K. (2004). A cognitive hierarchy model of games. "Quarterly Journal of Economics", 119, 861-989.
  6. Diamond, P. A. (1965). National debt in a neoclassical growth model." American Economic Review", 55, 1126-1150.
  7. Dudek, M. K. (2010). A consistent route to randomness. "Journal of Economic Theory", 145, 354-381.
  8. Dudek, M. K. (2012). Living in an imaginary world that looks real, available at SSRN:
  9. Eyster, E., Piccione, M. (2012). An approach to asset-pricing under incomplete and diverse perceptions. "Econometrica", forthcoming.
  10. Eusepi, S., Preston, B. (2011). Expectations, learning and business cycle fluctuations. "American Economic Review", 101, 2844-2872.
  11. Grandmont, J.-M. (1998). Expectations formation and stability of large socioeconomic systems. "Econometrica", 66, 741-781.
  12. Grossman, S. J., Stiglitz, J. E. (1980). On the impossibility of informationally efficient markets." American Economic Review", 70, 393-408.
  13. Hellwig, C., Veldkamp, L. (2009). Knowing what others know: Coordination motives in information acquisition. "Review of Economic Studies", 76, 223-251.
  14. Hommes, C. H. (1998). On the consistency of backward-looking expectations: The case of the Cobweb. "Journal of Behavior and Organization", 33, 333-362.
  15. Hommes, C. H., Sorger, G. (1998). Consistent expectations equilibria. "Macroeconomic Dynamics", 2, 287-321.
  16. Judd, K. (1995). The law of large numbers with a continuum of IID random variables. "Journal of Economic Theory", 35, 19-25.
  17. Kurz, M., Motolese, M. (2011). Diverse beliefs and time variability of risk premia. "Economic Theory", 47, 293-335.
  18. Lucas, R. E. Jr. (1972). Rational Eexpectations and the neutrality of money. "Journal of Economic Theory", 4, 103-124.
  19. Matsuyama, K. (1999). Growing through cycles. "Econometrica", 67, 335-347.
  20. Radunskaya, A. (1994). Comparing random and deterministic time series. "Economic Theory", 4, 765-777.
  21. Sorger, G. (1998). Imperfect foresight and chaos: An example of a self-fulfilling mistake. "Journal of Economic Behavior and Organization", 33, 363-383.
  22. Strzałecki, T. (2011). Depth of reasoning and higher order beliefs, working paper, Harvard University.
  23. Townsend, R. (1983). Forecasting the forecasts of others. "Journal of Political Economy", 91, 546-588.
Cytowane przez
Udostępnij na Facebooku Udostępnij na Twitterze Udostępnij na Google+ Udostępnij na Pinterest Udostępnij na LinkedIn Wyślij znajomemu