| 来源类型 | Books
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| 规范类型 | 图书
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| Endogenous economic fluctuations |
| Mordecai Kurz
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| 发表日期 | 1997
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| 出版者 | Springer-Verlag
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| 出版年 | 1997
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| 语种 | 英语
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| 摘要 | The book consists of a collections of papers which develop a new theory of expectations called "rational beliefs." The theory proposes that a crucial component of social risk and economic fluctuations is endogenously propagated by variations in the state of beliefs of market participants. This component is called "Endogenous Uncertainty". The first part of the book explores the structure of general equilibrium models in which market participants hold rational beliefs. It shows that to accommodate endogenous uncertainty, the state space of such models must be expanded to include the "state of belief." The second part of the book studies the structure of volatility in financial markets and explores four well known "paradoxes." It is demonstrated that the presence of endogenous uncertainty under rational beliefs resolves all four paradoxes: the excess volatility of stock returns and of foreign exchange rates, the large realised equity premium on risky assets and the time variability of the variance of asset prices.
Contributors: A. Beltratti, C-S. Chuang, P. Henrotte, C. Krabbe Nielsen, M. Kurz, M. Schneider, H-M. Wu |
| URL | https://www.feem.it/en/publications/books/endogenous-economic-fluctuations/
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| 来源智库 | Fondazione Eni Enrico Mattei (Italy)
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/118829
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推荐引用方式
GB/T 7714 |
Mordecai Kurz. Endogenous economic fluctuations. 1997.
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