Artikel
Endogenous indeterminacy and volatility of asset prices under ambiguity
If agents are ambiguity-averse and can invest in productive assets, asset prices can robustly exhibit indeterminacy in the markets that open after the productive investment has been launched. For indeterminacy to occur, the aggregate supply of goods must appear in precise configurations but the investment levels that generate these supplies arise systematically. That indeterminacy arises only at a knife-edge set of aggregate supplies allows for a simple explanation of the volatility of asset prices: small changes in supplies necessarily lead to a big price response.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Theoretical Economics ; ISSN: 1555-7561 ; Volume: 8 ; Year: 2013 ; Issue: 3 ; Pages: 729-750 ; New Haven, CT: The Econometric Society
- Klassifikation
-
Wirtschaft
Exchange and Production Economies
General Equilibrium and Disequilibrium: Financial Markets
Criteria for Decision-Making under Risk and Uncertainty
Asset Pricing; Trading Volume; Bond Interest Rates
- Thema
-
Ambiguity aversion
asset pricing
indeterminacy
excess volatility
general equilibrium
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Mandler, Michael
- Ereignis
-
Veröffentlichung
- (wer)
-
The Econometric Society
- (wo)
-
New Haven, CT
- (wann)
-
2013
- DOI
-
doi:10.3982/TE1068
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
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Objekttyp
- Artikel
Beteiligte
- Mandler, Michael
- The Econometric Society
Entstanden
- 2013
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