Endogenous indeterminacy and volatility of asset prices under ambiguity

Artikel

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Theoretical Economics ; ISSN: 1555-7561 ; Volume: 8 ; Year: 2013 ; Issue: 3 ; Pages: 729-750 ; New Haven, CT: The Econometric Society

Classification and Topics

• Classification: 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
• Subject: Ambiguity aversion ; asset pricing ; indeterminacy ; excess volatility ; general equilibrium

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Mandler, Michael
• Event: Veröffentlichung
• (who): The Econometric Society
• (where): New Haven, CT
• (when): 2013

Further information

• DOI: doi:10.3982/TE1068
• Handle: http://hdl.handle.net/10419/150206
• Last update: 10.03.2025, 11:42 AM CET