English, Article, Journal or magazine article edition: Dynamic Higher Order Expectations Kristoffer Nimark

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/112158
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Dynamic Higher Order Expectations
Author
  • Kristoffer Nimark
Physical Description
  • preprint
Notes
  • In models where privately informed agents interact, agents may need to form higher order expectations, i.e. expectations of other agents’ expectations. This paper explores dynamic higher order expectations in a setting where it is common knowledge that agents are rational Bayesians. This structure is a natural generalization of full information rational expectations and allows any order of expectation at any horizon to be determined recursively. The usefulness of the approach is illustrated by solving a version of Singleton’s (1987) asset pricing model with disparately informed traders but without assuming that shocks can be observed perfectly with a lag. In the context of Singleton’s asset pricing model, we prove that both the impact of expectations on the asset’s price and the variance of expectations are decreasing as the order of expectation increases. We use these results to derive a finite dimensional state representation that can be made arbitrarily accurate. The solution method exploits the Euler-type structure of the asset pricing function and should be applicable to a variety of settings where privately informed agents optimize intertemporally.
  • Dynamic Higher Order Expectations, Private Information, Asset Pricing
  • RePEc:upf:upfgen:1118
Language
  • English
Contributed by
OAIster

Get this edition

Other links

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment