Proof of the Existence of Speculative Equilibria

Matthew Jackson

No 1003, Discussion Papers from Northwestern University, Center for Mathematical Studies in Economics and Management Science

Abstract: The existence of speculative equilibria is proven in a simple overlapping generations, infinite horizon economy. In equilibrium, all agents bid assets according to increasing functions of private information which is uncorrelated with the fundamental value (dividend stream) of the asset. This is a unique best response to the strategies of the other agents, which implies that speculative information is valuable.

Date: 1992-08
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Journal Article: A Proof of the Existence of Speculative Equilibria (1994)
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