Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/28239
Authors: 
Heinemann, Maik
Year of Publication: 
2009
Series/Report no.: 
University of Lüneburg Working Paper Series in Economics 122
Abstract: 
In a recent paper Ganguli and Yang [2009] demonstrate, that there can exist multiple equilibria in a financial market model á la Grossman and Stiglitz [1980] if traders possess private information regarding the supply of the risky asset. The additional equilibria differ in some important respects fromthe usual equilibrium of the GrossmanStiglitz type which still exists in this model. This note shows that these additional equilibria are always unstable under learning. This is true for both eductive learning following Guesnerie [2002] and adaptive learning via leastsquares estimation (cf. Marcet and Sargent [1988] or Evans and Honkapohja [2001]). Regarding the original GrossmanStiglitz type equilibrium, the stability results are less clear cut, since this equilibrium might be unstable under eductive learning while it is always stable under adaptive learning.
Subjects: 
Recursive Least Squares Learning
Eductive Stability
Rational Expectations
Private Information
JEL: 
D82
D83
C62
Document Type: 
Working Paper

Files in This Item:
File
Size
113.51 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.