Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/150206
Authors: 
Mandler, Michael
Year of Publication: 
2013
Citation: 
[Journal:] Theoretical Economics [ISSN:] 1555-7561 [Volume:] 8 [Year:] 2013 [Issue:] 3 [Pages:] 729-750
Abstract: 
If agents are ambiguity-averse and can invest in productive assets, asset prices can robustly exhibit indeterminacy in the markets that open after the productive investment has been launched. For indeterminacy to occur, the aggregate supply of goods must appear in precise configurations but the investment levels that generate these supplies arise systematically. That indeterminacy arises only at a knife-edge set of aggregate supplies allows for a simple explanation of the volatility of asset prices: small changes in supplies necessarily lead to a big price response.
Subjects: 
Ambiguity aversion
asset pricing
indeterminacy
excess volatility
general equilibrium
JEL: 
D51
D53
D81
G12
Persistent Identifier of the first edition: 
Creative Commons License: 
https://creativecommons.org/licenses/by-nc/3.0/
Document Type: 
Article

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