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Title: Indeterminacy of rational expectations equilibria in sequential financial markets
Abstract
We provide a general characterization of the structure of rational expectations equilibria of any degree of revelation for pure exchange, sequential economies, with deffinitely many states of private information, an incomplete financial market and nominal assets. We estimate the dimension of the rational expectations equilibria for any degree of revelation. Then, we show how a central bank, by deciding on the money supply, may affect the revelation of information at equilibrium. [Paola Donati]
Author: Donati, Paola
Series Title: Working paper series / European Central Bank ; 262
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: Asymmetric informationFinancial marketMonetary PolicyRational expectationsTheoryIncomplete marketCentral Bank
Subject: Currency. Monetary policyInvestment returns. Financial market. Interest rates
Online Ressource: vorübergehend nicht erreichbar!
Bitte beachten Sie die urheberrechtlichen Bedingungen der Dokumentenbenutzung / Please observe the copyright when accessing the document | Quelle / Source: Europäische Zentralbank (http://www.ecb.int)
Title: International equity flows and returns
Title (other): a quantative equilibrium approach
Abstract
This paper considers the role of foreign investors in developed-country equity markets. It presents a quantitative model of trading that is built around two new assumptions: (i) both the foreign and domestic investor populations contain investors of different sophistication, and (ii) investor sophistication matters for performance in both public equity and private investment opportunities. The model delivers a unified explanation for three stylized facts about US investors' international equity trades: (i ) trading by US investors occurs in bursts of simultaneous buying and selling, (ii ) Americans build and unwind foreign equity positions gradually and (iii ) US investors increase their market share in a country when stock prices there have recently been rising. The results suggest that heterogeneity within the foreign investor population is much more important than heterogeneity of investors across countries. [Rui Albuquerque, Gregory H. Bauer and Martin Schneider]
Author: Albuquerque, Rui | Bauer, Gregory H. | Schneider, Martin
Series Title: Working paper series / European Central Bank ; 310
Publisher: European Central Bank
Year: 2004
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: Stock MarketAsymmetric informationForeign direct investmentFinancial marketCapital mobilityTheory
Subject: Investment returns. Financial market. Interest ratesInternational investments. Capital movements
Online Ressource: vorübergehend nicht erreichbar!
Bitte beachten Sie die urheberrechtlichen Bedingungen der Dokumentenbenutzung / Please observe the copyright when accessing the document | Quelle / Source: Europäische Zentralbank (http://www.ecb.int)
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