Learning, rare events, and recurrent market crashes in frictionless economies without intrinsic uncertainty
成果类型：
Article
署名作者：
Sandroni, A
署名单位：
Northwestern University
刊物名称：
JOURNAL OF ECONOMIC THEORY
ISSN/ISSBN：
0022-0531
DOI：
10.1006/jeth.1998.2436
发表日期：
1998
页码：
1-18
关键词：
摘要：
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 (J. Polit. Econ. 91 (1983), 193-227) results which show that when beliefs are homogeneous, in complete markets without intrinsic uncertainty, sunspots do not matter. (C) 1998 Academic Press.