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微观orkshop:On Equilibrium Existence in a Finite-Agent, Multi-Asset Noisy Rational Expectations Economy
发布日期：2017-11-02 07:12 来源：大陆成人直播-成人直播中文
时间：2017年11月2日（周四）14:00-15:30
地点：北京大学致福轩会议室
主持人：汪浩、胡岠
主讲人：Ronaldo Carpio（对外经贸大学）
题目：On Equilibrium Existence in a Finite-Agent, Multi-Asset Noisy Rational Expectations Economy
(coauthored with Meixin Guo )
摘要：In this paper we introduce a novel method of proving existence of rational expectations equilibria (REE) in multi-dimensional CARA-Gaussian environments. Our approach is to focus on the set of parameters characterizing agents' beliefs. We show that this set is convex and compact; we then construct a continuous mapping from agents' initial beliefs, to optimal behavior given these beliefs, to equilibrium behavior; and then finally, to agents' updated beliefs after observing equilibrium. We appeal to Brouwer's fixed point theorem to prove that a fixed point exists, which must be a REE. We use this method to to prove existence of REE in a finite-agent version of the model of Admati (1985), which is a multi-asset noisy REE asset pricing model with dispersed information. Our method can prove existence in models that are not currently handled by the literature; it also can be applied to any multi-dimensional REE model with Gaussian uncertainty and behavior that is linear in agents' information.
主讲人简介：Ronaldo Carpioan is an Assistant Professor in the School of Banking and Finance at the University of International Business & Economics in Beijing. He joined UIBE in 2012. He received a Master's in Public Policy from the University of California, Berkeley and a PhD in Economics from the University of California, Davis. His fields of study were econometrics and economic theory. His current research interests focus on developing theoretical models of banks and financial intermediaries. He is also interested in applying computational methods to economic questions.
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大陆成人直播
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微观orkshop:On Equilibrium Existence in a Finite-Agent, Multi-Asset Noisy Rational Expectations Economy
发布日期：2017-11-02 07:12 来源：大陆成人直播-成人直播中文
时间：2017年11月2日（周四）14:00-15:30
地点：北京大学致福轩会议室
主持人：汪浩、胡岠
主讲人：Ronaldo Carpio（对外经贸大学）
题目：On Equilibrium Existence in a Finite-Agent, Multi-Asset Noisy Rational Expectations Economy
(coauthored with Meixin Guo )
摘要：In this paper we introduce a novel method of proving existence of rational expectations equilibria (REE) in multi-dimensional CARA-Gaussian environments. Our approach is to focus on the set of parameters characterizing agents' beliefs. We show that this set is convex and compact; we then construct a continuous mapping from agents' initial beliefs, to optimal behavior given these beliefs, to equilibrium behavior; and then finally, to agents' updated beliefs after observing equilibrium. We appeal to Brouwer's fixed point theorem to prove that a fixed point exists, which must be a REE. We use this method to to prove existence of REE in a finite-agent version of the model of Admati (1985), which is a multi-asset noisy REE asset pricing model with dispersed information. Our method can prove existence in models that are not currently handled by the literature; it also can be applied to any multi-dimensional REE model with Gaussian uncertainty and behavior that is linear in agents' information.
主讲人简介：Ronaldo Carpioan is an Assistant Professor in the School of Banking and Finance at the University of International Business & Economics in Beijing. He joined UIBE in 2012. He received a Master's in Public Policy from the University of California, Berkeley and a PhD in Economics from the University of California, Davis. His fields of study were econometrics and economic theory. His current research interests focus on developing theoretical models of banks and financial intermediaries. He is also interested in applying computational methods to economic questions.
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