Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/100739
Authors: 
Amershi, Amin H.
Ramamurtie, B. Sailesh
Year of Publication: 
1995
Series/Report no.: 
Working Paper, Federal Reserve Bank of Atlanta 95-16
Abstract: 
We develop a model of noisy rational expectations equilibrium in segmented markets. The noise emerges endogenously through intermarket effects rather than through exogenous supply noise from liquidity or naive trading as in standard noisy rational expectations equilibrium of the Hellwig type. Existence of and persistence of segmentation in equilibrium is established. A metric to determine welfare effects of the degree of segmentation is also derived. This metric is structurally different from the metric derived in the standard models and includes the latter as a special case. Empirical evidence from and observed characteristics of "real world" economies that support the economic intuition underlying the model are described in some detail.
Subjects: 
Capital market
Document Type: 
Working Paper

Files in This Item:
File
Size





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