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Autor
Dudek Maciej K. (Szkoła Główna Handlowa w Warszawie)
Tytuł
Volatility as a Choice,
Źródło
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
Uwagi
summ.
Abstrakt
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
Biblioteka Główna Uniwersytetu Ekonomicznego w Katowicach
Biblioteka Główna Uniwersytetu Ekonomicznego we Wrocławiu
Bibliografia
Pokaż
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  9. Eyster, E., Piccione, M. (2012). An approach to asset-pricing under incomplete and diverse perceptions. "Econometrica", forthcoming.
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  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.
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  23. Townsend, R. (1983). Forecasting the forecasts of others. "Journal of Political Economy", 91, 546-588.
Cytowane przez
Pokaż
ISSN
0866-9503
Język
eng
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