EconStor >
Leuphana Universität Lüneburg >
Institut für Volkswirtschaftslehre, Leuphana Universität Lüneburg >
Working Paper Series in Economics, Leuphana Universität Lüneburg  >

Please use this identifier to cite or link to this item:
Title:Stability under learning of equilibria in financial markets with supply information PDF Logo
Authors:Heinemann, Maik
Issue Date: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
Document Type:Working Paper
Appears in Collections:Working Paper Series in Economics, Leuphana Universität Lüneburg

Files in This Item:
File Description SizeFormat
59874326X.PDF113.51 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:

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