Arbeitspapier
Learning Rare Events
In this paper I consider a dynamically complete market model without intrinsic uncertainty. The only uncertainty is modelled by sunspots. Agents' beliefs are heterogeneous, but eventually become homogeneous in the sense that agents' beliefs are identical in the limit. I show that if some states of nature occur rarely then arbitrarily large market crashes may occur infinitely often. This result contrasts with Cass and Shell's (83) results which show that when beliefs are homogeneous, in complete markets without intrinsic uncertainty, sunspots do not matter.
- Sprache
-
Englisch
- Erschienen in
-
Series: Discussion Paper ; No. 1199
- Klassifikation
-
Wirtschaft
Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
- Thema
-
Convergence to Rational Expectations
Learning
Rate Events
Market Crashes
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Sandroni, Alvaro
- Ereignis
-
Veröffentlichung
- (wer)
-
Northwestern University, Kellogg School of Management, Center for Mathematical Studies in Economics and Management Science
- (wo)
-
Evanston, IL
- (wann)
-
1997
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Sandroni, Alvaro
- Northwestern University, Kellogg School of Management, Center for Mathematical Studies in Economics and Management Science
Entstanden
- 1997
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