Soluzioni di aspettative razionali e processi collettivi di scelta -

Raul De Luzenberger
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Raul De Luzenberger: Dipartimento di Economia, Università di Bari, Postal: Via Primo Longobardo, 23 – 72011 Brindisi, Italy, http://www.uniba.it/

Economia Internazionale / International Economics, 1989, vol. 42, issue 1-2, 47-78

Abstract: A number of selection criteria have been proposed in the literature to identify stable RE solutions for dynamic models. Some of them assume either explicitly or implicitly a coordination process of individual expectations that cannot easily be allowed for in a world. of atomistic agents. Building on previous work by Gray (1984) and Obstfeld, Rogoff (1986), conditions are first derived for an IRE model to admit a unique stable solution, and to run out bubbles. These depend on the indirect utility function of money, and on the Arrow-Pratt measure of relative risk aversion based on it. Within the context of a sequential game in which individuals attempt to forecast average expectations it is also shown that, when these conditions are not met, collusive behavior may lead to the enforcement of a (unique) non bubble solution in a wider variety of eases. Furthermore, when individuals are only uncertain about others’ expectations, uncertainty is resolved when the first observation becomes available. In this case, as in Diba, Grossman (1988), a bubble can start only at the beginning of the world, and cannot restart once it has bursted. However, if weather type uncertainty is also introduced in the model, collusive behavior may lead to the periodic onset of bubbles, similar to price warfares in an oligopoly model with uncertainty.

Date: 1989
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