Arbeitspapier
Rational expectations equilibrium in an economy with segmented capital asset markets
We develop a model of noisy rational expectations equilibrium in segmented markets. The noise emerges endogenously through intermarket effects rather than through exogenous supply noise from liquidity or naive trading as in standard noisy rational expectations equilibrium of the Hellwig type. Existence of and persistence of segmentation in equilibrium is established. A metric to determine welfare effects of the degree of segmentation is also derived. This metric is structurally different from the metric derived in the standard models and includes the latter as a special case. Empirical evidence from and observed characteristics of "real world" economies that support the economic intuition underlying the model are described in some detail.
- Language
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Englisch
- Bibliographic citation
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Series: Working Paper ; No. 95-16
- Classification
-
Wirtschaft
- Subject
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Capital market
- Event
-
Geistige Schöpfung
- (who)
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Amershi, Amin H.
Ramamurtie, B. Sailesh
- Event
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Veröffentlichung
- (who)
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Federal Reserve Bank of Atlanta
- (where)
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Atlanta, GA
- (when)
-
1995
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Amershi, Amin H.
- Ramamurtie, B. Sailesh
- Federal Reserve Bank of Atlanta
Time of origin
- 1995
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