Liquidity and asset prices in rational expectations equilibrium with ambiguous information
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Publication:641839
DOI10.1007/s00199-011-0648-0zbMath1277.91117OpenAlexW1976415748MaRDI QIDQ641839
Publication date: 25 October 2011
Published in: Economic Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00199-011-0648-0
Decision theory (91B06) Microeconomic theory (price theory and economic markets) (91B24) Economics of information (91B44)
Related Items (23)
Participation in risk sharing under ambiguity ⋮ A competitive equilibrium for a warm-glow economy ⋮ On the core and Walrasian expectations equilibrium in infinite dimensional commodity spaces ⋮ Information acquisition and welfare effect in a model of competitive financial markets ⋮ A full characterization of Nash implementation with strategy space reduction ⋮ Savings and default ⋮ The pricing effects of ambiguous private information ⋮ Ambiguity in asset pricing and portfolio choice: a review of the literature ⋮ Ambiguous price formation ⋮ A test of (weak) certainty independence ⋮ Asset prices in an ambiguous economy ⋮ Prospect theory and market quality ⋮ Informational efficiency with ambiguous information ⋮ Decision making and trade without probabilities ⋮ Ambiguity aversion and trade ⋮ Core and equilibria under ambiguity ⋮ Risk, ambiguity, and state-preference theory ⋮ The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices ⋮ Pricing rules and Arrow-Debreu ambiguous valuation ⋮ Dynamic market participation and endogenous information aggregation ⋮ Blocking efficiency in an economy with asymmetric information ⋮ The effect of the central bank's standing facilities on interbank lending and bank liquidity holding ⋮ Monetary equilibria and Knightian uncertainty
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