Show simple item record

dc.contributor.authorChalle, Edouard
dc.date.accessioned2014-03-12T10:38:43Z
dc.date.available2014-03-12T10:38:43Z
dc.date.issued2008-07
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/12877
dc.language.isoenen
dc.subjectIncomplete participationen
dc.subjectSelf-fulfilling expectationsen
dc.subjectAsset price volatilityen
dc.subject.ddc332en
dc.subject.classificationjelD84en
dc.subject.classificationjelG11en
dc.titleEndogenous participation risk in speculative marketsen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenThis paper analyses the dynamic implications of an asset-pricing model with incomplete participation due to entry costs. It is shown that heterogeneity in entry costs can lead to the existence of multiple stochastic sunspot equilibria, whereby the number of agents in the market and asset prices fluctuate endogeneously over time in the absence of fundamental uncertainty. Such asset-price fluctuations occur despite the uniqueness of the deterministic equilibrium, and thus bear no link to the usual notion of steady-state indeterminacy. In addition to excess volatility, the equilibria exhibit predictable and conditionally heteroskedastic returns.en
dc.relation.isversionofjnlnameJournal of Economic Dynamics and Control
dc.relation.isversionofjnlvol32en
dc.relation.isversionofjnlissue7en
dc.relation.isversionofjnldate2008-07
dc.relation.isversionofjnlpages2148–2164en
dc.relation.isversionofdoihttp://dx.doi.org/10.1016/j.jedc.2007.09.016en
dc.relation.isversionofjnlpublisherElsevieren
dc.subject.ddclabelEconomie financièreen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record