合理信念下的財務創新與資產價格波動
Other Title
Financial Innovation and Asset Price Volatility with Rational Belief
Date Issued
2004
Date
2004
Author(s)
巫和懋
DOI
922416H002016
Abstract
The purpose of this research is to
study the impacts of endogenous uncertainty
on asset price volatility when participants in
the financial markets have heterogeneous but
rational beliefs. The participants in the
financial market are allowed to form
heterogeneous but “rational beliefs”, as
developed by Kurz and Wu (1996). In such a
framework, the equilibrium prices do not
have any discernible connection with the
exogenous states of the world (see Kurz and Wu (1996) and Huang and Wu (1999)). This
kind of uncertainty is therefore called
“endogenous uncertainty”. Based on the work
of Wu and Guo (2003, 2004), we apply the
concept of social states (see Cass,
Chichilnisky and Wu (1996)) to study the
pattern of asset price volatility in an economy
with endogenous uncertainty. We also
explore the implications of government
policy and financial innovation.
study the impacts of endogenous uncertainty
on asset price volatility when participants in
the financial markets have heterogeneous but
rational beliefs. The participants in the
financial market are allowed to form
heterogeneous but “rational beliefs”, as
developed by Kurz and Wu (1996). In such a
framework, the equilibrium prices do not
have any discernible connection with the
exogenous states of the world (see Kurz and Wu (1996) and Huang and Wu (1999)). This
kind of uncertainty is therefore called
“endogenous uncertainty”. Based on the work
of Wu and Guo (2003, 2004), we apply the
concept of social states (see Cass,
Chichilnisky and Wu (1996)) to study the
pattern of asset price volatility in an economy
with endogenous uncertainty. We also
explore the implications of government
policy and financial innovation.
Subjects
Asset Price Volatility
Financial
Innovation
Innovation
Endogenous
Uncertainty
Uncertainty
Rational Beliefs
Publisher
臺北市:國立臺灣大學國際企業學系暨研究所
Type
report
File(s)![Thumbnail Image]()
Loading...
Name
922416H002016.pdf
Size
70.87 KB
Format
Adobe PDF
Checksum
(MD5):4c1391342c721101c7557a46ab41bd19