RIEBセミナー (RIEB Seminar)
| 日時： （Date&Time) |
2007年10月30日（火）午後3時半から （Tuesday, October 30, 2007, 3:30pm〜） |
| 報告者： （Speaker） |
Julio DAVILA |
| 所属： （Affiliation） |
パリ・スクール・オブ・エコノミクス （Paris School of Economics） |
| 論題： （Topic） |
Expectations formation and volatility 期待形成とボラティリティー |
| 概要： (Abstract) |
I show in this paper that the possibility of expectations-driven volatility of prices and trades as an equilibrium phenomenon has been downplayed by the use of the rational expectations hypothesis. Starting from the fact that the rational expectations hypothesis remains silent about how the agents may have ended up holding the expectations they hold, I consider the consequences of imposing rationality assumptions on the way the agents form their expectations. More specifically, I assume that each agent holds rationally formed expectations in the sense that any other expectations consistent with his choices that he might have held would imply a smaller likelihood for the history he observes. Then I establish that in simple overlapping generations economies without intrinsic uncertainty there are expectations-driven fluctuations of prices and trades that are rationally formed expectations equilibrium outcomes, but would never be the outcome of a rational expectations equilibrium. This result suggests that the strong requirements underlying the rational expectations hypothesis may have led to a serious underestimation of the role of expectations in the generation of volatility of equilibrium prices and allocations. |
| 会場： (Place) |
神戸大学経済経営研究所 調査室 （兼松記念館1階） Seminar Room at RIEB (Kanematsu Memorial Hall 1st Floor) |
| 対象： （Intended Audience) |
教員、院生および同等の知識をお持ちの方 Faculty, Graduate Students and People with Equivalent Knowledge |
| 使用言語： （Language) |
英語 English |
| 備考： (Note) |
論文のコピーは研究助成室にご用意しております。 |