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SUMMARY:Dynamic Noisy Rational Expectations Equilibrium with Information P
 roduction and Beliefs-Based Speculation
DTSTART:20151118T120000
DTEND:20151118T130000
DTSTAMP:20260406T064328Z
UID:6402ab4f337b21e00cd17172fbc87ee976c142b74de1ee75bc1ba046
CATEGORIES:Conferences - Seminars
DESCRIPTION:Marcel RINDISBACHER (Boston University)\nA continuous time eco
 nomy with information production and belief-based speculation is studied. 
 All agents\, informed\, uninformed and speculators\, have constant absolut
 e risk aversion. Equilibrium is in closed form\, except for a coefficient 
 satisfying a Riccati equation. Costly information production generates asy
 nchronous private and public information flows. Private information dissem
 ination reduces price volatility. Intertemporal hedging amplifies this dec
 rease. Asynchrony between information flows increases volatility over time
 . A decomposition of exante and interim utilities\, highlighting the sourc
 es of welfare\, is obtained. Conditions for Pareto efficiency of equilibri
 um are derived. Speculation is shown to be socially beneficial.
LOCATION:UNIL\, Extranef\, room 118 https://planete.unil.ch/plan/?local=EX
 T-118.1
STATUS:CONFIRMED
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