A consistent route to randomness

• 成果类型: Article
• 署名作者: Dudek, Maciej K.
• 署名单位: Warsaw School of Economics
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2009.05.008
• 发表日期: 2010
• 页码: 354-381
• 关键词: Rational selection over expectations; Endogenous instability; chaos; Consistent equilibria; Costly information acquisition

摘要

Fully rational agents are allowed to optimize over expectations formation technologies in an environment where it is costly to collect and process information. It is shown in a general equilibrium framework that optimization over expectations by rational and forward-oriented agents can lead to endogenous instability. Specifically, we illustrate that resulting equilibria can be both chaotic and self-consistent with the distribution of agents' expected forecasting errors coinciding with the actual errors implied by the endogenous dynamic process. Moreover, we show that the equilibrium dynamics, while being purely deterministic, need not be distinguishable from stochastic dynamics to air outside rational observer. (C) 2009 Elsevier Inc. All rights reserved.