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.
- Language
-
Englisch
- Bibliographic citation
-
Series: Discussion Paper ; No. 1199
- Classification
-
Wirtschaft
Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
- Subject
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Convergence to Rational Expectations
Learning
Rate Events
Market Crashes
- Event
-
Geistige Schöpfung
- (who)
-
Sandroni, Alvaro
- Event
-
Veröffentlichung
- (who)
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Northwestern University, Kellogg School of Management, Center for Mathematical Studies in Economics and Management Science
- (where)
-
Evanston, IL
- (when)
-
1997
- Handle
- Last update
-
10.03.2025, 11:44 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
- Sandroni, Alvaro
- Northwestern University, Kellogg School of Management, Center for Mathematical Studies in Economics and Management Science
Time of origin
- 1997
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