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Title: Indeterminacy of rational expectations equilibria in sequential financial markets |
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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 |
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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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