On the Possibility of Speculation under Rational Expectations Export

@article{tirole82, abstract = {This paper considers the possibility of static and dynamic speculation when traders have rational expectations. Its central theme is that, unless traders have different priors or are able to obtain insurance in the market, speculation relies on inconsistent plans, and thus is ruled out by rational expectations. Its main contribution lies in the integration of the rational expectations equilibrium concept into a model of dynamic asset trading and in the study of the speculation created by potential capital gains. Price bubbles and their martingale properties are examined. It is argued that price bubbles rely on the myopia of traders and that they disappear if traders adopt a truly dynamic maximizing behavior.}, author = {Tirole, Jean}, citeulike-article-id = {4457151}, citeulike-linkout-0 = {http://dx.doi.org/10.2307/1911868}, citeulike-linkout-1 = {http://www.jstor.org/stable/1911868}, doi = {10.2307/1911868}, issn = {00129682}, journal = {Econometrica}, keywords = {common-knowledge, impossibilities, information, rational-expectations}, number = {5}, pages = {1163--1181}, posted-at = {2009-06-10 10:57:57}, priority = {3}, publisher = {The Econometric Society}, title = {On the Possibility of Speculation under Rational Expectations}, url = {http://dx.doi.org/10.2307/1911868}, volume = {50}, year = {1982} }

TY - JOUR ID - tirole82 L3 - citeulike-article-id:4457151 N2 - This paper considers the possibility of static and dynamic speculation when traders have rational expectations. Its central theme is that, unless traders have different priors or are able to obtain insurance in the market, speculation relies on inconsistent plans, and thus is ruled out by rational expectations. Its main contribution lies in the integration of the rational expectations equilibrium concept into a model of dynamic asset trading and in the study of the speculation created by potential capital gains. Price bubbles and their martingale properties are examined. It is argued that price bubbles rely on the myopia of traders and that they disappear if traders adopt a truly dynamic maximizing behavior. IS - 5 JF - Econometrica SN - 00129682 EP - 1181 TI - On the Possibility of Speculation under Rational Expectations PB - The Econometric Society VL - 50 SP - 1163 KW - common-knowledge KW - impossibilities KW - information KW - rational-expectations AU - Tirole, Jean PY - 1982/// UR - http://dx.doi.org/10.2307/1911868 ER -