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SUMMARY:Noisy Rational Bubbles - Qiusha Peng  Interests: Macroeconomics\, 
 Theory\, Finance
DTSTART:20151112T130000Z
DTEND:20151112T140000Z
UID:TALK59567@talks.cam.ac.uk
CONTACT:Cerf Admin
DESCRIPTION:This paper develops a novel theory of price dynamics during bu
 bble-like episodes in a tractable noisy rational expectations model with e
 ndogenous investor inflows. The unique linear partially revealing rational
  expectations equilibrium features a dramatic non-fundamental rise and fal
 l of asset prices driven by speculation. Two layers of uncertainty---uncer
 tainty about the fundamental value and uncertainty regarding the probabili
 ty with which the fundamental value is fully revealed in each period\, can
  generate the hump shape in prices. Gradual investor inflows can greatly a
 mplify price movements. Simulation results show that the model equilibrium
  can produce various real-life bubble-like events.
LOCATION:Room W4.03 Judge Business School
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