| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w20813 |
| 来源ID | Working Paper 20813 |
| Trading on Sunspots | |
| Boyan Jovanovic; Viktor Tsyrennikov | |
| 发表日期 | 2015-01-05 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | 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 high enough, the coordination game becomes like a prisoner’s dilemma situation in which the high-output equilibrium disappears because the portfolios that agents choose induce them to produce less. We derive an upper bound on the disaster probability, we derive asset pricing implications including the disaster premium, and we study the effect on stock prices of news shocks to beliefs. |
| 主题 | Macroeconomics ; Business Cycles ; Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w20813 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/578486 |
| 推荐引用方式 GB/T 7714 | Boyan Jovanovic,Viktor Tsyrennikov. Trading on Sunspots. 2015. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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