Books
1997

Endogenous economic fluctuations


Type: International
Authors: Mordecai Kurz
Publisher: Springer-Verlag
Date: 1997

Abstract

The book consists of a collections of papers which develop a new theory of expectations called "rational beliefs." The theory proposes that a crucial component of social risk and economic fluctuations is endogenously propagated by variations in the state of beliefs of market participants. This component is called "Endogenous Uncertainty". The first part of the book explores the structure of general equilibrium models in which market participants hold rational beliefs. It shows that to accommodate endogenous uncertainty, the state space of such models must be expanded to include the "state of belief." The second part of the book studies the structure of volatility in financial markets and explores four well known "paradoxes." It is demonstrated that the presence of endogenous uncertainty under rational beliefs resolves all four paradoxes: the excess volatility of stock returns and of foreign exchange rates, the large realised equity premium on risky assets and the time variability of the variance of asset prices. 

Contributors: A. Beltratti, C-S. Chuang, P. Henrotte, C. Krabbe Nielsen, M. Kurz, M. Schneider, H-M. Wu

FEEM Newsletter & Update

Subscribe to stay connected.

Your data will be processed by FEEM - Eni Enrico Mattei Foundation - Data Controller - to receive the Foundation's Newsletter & Update via e-mail. To send the requested information, the Data Controller uses e-mail sending service providers established in the U.S.A .: for this, your consent to the transfer of your email address to the U.S.A. is required, without which it will not be possible to comply with your request. We invite you to consult the complete information to obtain detailed information to protect your rights.