price discovery and learning during the preopening period in the paris bourse before the opening of the paris bourse traders place orders and indicative prices are set this offers a laboratory to study empirically the t tonnement process through which markets discover equilibrium prices since preopening orders can be revised or canceled before the opening indicative prices could be noise we test this against the hypothesis that preopening prices reflect learning early in the preopening the noise hypothesis is not rejected as the opening gets closer the informational content and efficiency of prices increase and the learning hypothesis is not rejected we also propose a gmm based estimate of the speed of learning

rational expectations in microeconomic models an overview abstract this paper is an expository introduction to several topics of current research in the general equilibrium theory of rational expectations more specifically we discuss the existence of exact and approximate rational expectations equilibria the implementation of equilibria the behavior of learning and smoothing processes by which traders construct expectations from repeated observations of the market and the lagged use of the information revealed by prices in an intertemporal sequence of markets the purpose of this discussion is to introduce papers on these topics appearing in the journal of economic theory symposium on rational expectations in microeconomic models

a model of rental and owner occupied housing abstract a complete model of owner occupied and rental housing is developed the model allows for the endogenous determination of rents the user cost of owner occupied housing and housing tenure choice by individuals in the short run structure prices are endogenous while in the long run the size of the housing stock adjusts to equate structure prices to exogenous construction costs comparative static results emphasize the importance of marginal tax rates and distinguishing between the short and long run for a complete understanding of the impacts of inflation on housing markets

the measurement of rationing and the treatment of structural change in the uk mortgage market uk mortgage markets have undergone major structural changes in the past few years resulting in mortgages no longer being rationed the ending of rationing has implications for the specification of empirical models of housing demand housing models have never adequately resolved how to incorporate unobservable mortgage rationing conventional proxy methods are particularly unsuitable when rationing ceases in this paper we propose a new way of measuring rationing directly which incorporates regime switching the model of rationing is extensively tested and estimates of rationing for the period 1963 1988 are provided these may be easily incorporated into housing demand studies

unions oligopoly and the natural range of employment a simple two sector general equilibrium macromodel is presented wi th oligopolistic price determination in the product market and a unionized labor market in the first stage unions set the nominal wage and in the second stage firms choose outputs given wages by altering the balance of fiscal policy between the two sectors the government can achieve a continuum of aggregate employment levels the natural range of employment a unique natural rate will occur only i f one requires fiscal policy to be the same in both sectors this indicates that the natural rate property of some single or representative sect or macromodels is a special case

tax subsidies to owner occupied housing an asset market approach inflation reduces the effective cost of homeownership and raises the tax subsidy to owner occupation this paper presents an asset market model of the housing market and estimates how changes in the expected inflation rate affect the real price of houses and the equilibrium size of the housing capital stock simulation results suggest that the accelerating inflation of the 1970s which substantially reduced homeowners user costs could have accounted for as much as a 30 percent increase in real house prices persistent high inflation rates could lead ultimately to a sizable increase in the stock of owner occupied housing

rational expectations and the aggregation of diverse information in laboratory security markets the idea that markets might aggregate and disseminate information and also resolve conflicts is central to the literature on decentralization hurwicz 1972 and rational expectations lucas 1972 we report on three series of experiments all of which were predicted to have performed identically by the theory of rational expectations in two of the three series one in which participants trade a complete set of arrow debreu securities and a second in which all participants have identical preferences double auction trading leads to efficient aggregation of diverse information and rational expectations equilibrium failure of the third series to exhibit such convergence demonstrates the importance of market institutions and trading instruments in achievement of equilibrium

market for information experimental evidence predictions of the noisy rational expectations equilibrium ree model are found to be relatively accurate for both asset and information markets in the laboratory when information about an asset s uncertain dividend is sold to a fixed number of highest bidders prices allocations efficiency and distribution of profit predictions of the full revelation ree model in the asset market dominate the predictions of the walrasian model demand for information shifts to the left and its price declines close to zero when the price of information is fixed at a relatively high level the number of informed agents and the informativeness of the asset market tends to adjust to permit the informed agents to recover their investment in information

new supply and price dynamics in the singapore housing market in this paper var models are employed to trace the price response of existing houses to the quantity of new units launched by homebuilders in singapore between 1996 and 2009 contrary to the competition hypothesis prediction of a negative reaction it is found that marginal supply granger cause existing house prices in a positive manner the effect is robust to the inclusion of exogenous demand factors as well as price interaction in the primary new houses and secondary existing houses market segments the contagion effect is consistent with the hypothesis that developers due to their ability to predict the market are price leaders in the housing market it is also found that homebuilders exhibit herding behaviour in mimicking each other s timing on when to market their new residential projects

modelling uk house prices using cointegration an application of the johansen technique this paper provides an econometric analysis of the long term equilibrium determination of uk house prices using the relatively recent johansen cointegration procedure this long term equilibrium specification is then utilized in order to estimate a parsimonious dynamic model for uk house prices

a theory of dynamic oligopoly iii cournot competition abstract we study the markov perfect equilibrium mpe of an alternating move infinite horizon duopoly model where the strategic variable is quantity we exhibit a pair of difference differential equations that when they exist differentiable mpe strategies satisfy for quadratic payoff functions we solve these equations in closed form and demonstrate that the mpe corresponding to the solution is the limit of the finite horizon equilibrium as the horizon tends to infinity we conclude with a discussion of adjustment costs and endogenization of the timing

a theory of dynamic oligopoly ii price competition kinked demand curves and edgeworth cycles we provide game theoretic foundations for the classic kinked demand curve equilibrium and edgeworth cycle we analyze a model in which firms take turns choosing prices the model is intended to capture the idea of reactions based on short run commitment in a markov perfect equilibrium mpe a firm s move in any period depends only on the other firm s current price there are multiple mpe s consisting of both kinked demand curve equilibria and edgeworth cycles in any mpe profit is bounded away from the bertrand equilibrium level we show that a kinked demand curve at the monopoly price is the unique symmetric renegotiation proof equilibrium when there is little discounting we then endogenize the timing by allowing firms to move at any time subject to short run commitments we find that firms end up alternating thus vindicating the ad hoc timing assumption of our simpler model we also discuss how the model can be enriched to provide explanations for excess capacity and market sharing keiiwords tacit collusion markov perfect equilibrium kinked demand curve edgeworth cycle excess capacity market sharing endogenous timing

the allocation of capital between residential and nonresidential uses taxes inflation and capital market constraints we have constructed a simple two sector model of the demand for housing and corporate capital economic growth and an increase in the inflation rate were then simulated with a number of model variants the model and simulation experiments illustrate both the tax bias in favor of housing and the manner in which the increase in inflation between 1965 and 1978 magnified it the existence of capital market constraints offsets the bias against corporate capital but it introduces a sharp inefficient reallocation of housing from less wealthy constrained households to wealthy households who do not have gains on mortgages and are not financially constrained

a dynamic model of expectations equilibrium abstract this paper describes a dynamic information adjustment process which achieves rational expectations equilibria for stochastic exchange environments an informational temporary equilibrium is an exchange equilibrium in which agents expectations are conditioned on their initial information and market data generated in previous informational temporary equilibria an equilibrium is a temporary equilibrium which reveals no further information this process leads to an equilibrium even when the data observed by agents is insufficient to permit the existence of an expectations equilibrium

the dynamics of the singapore private housing market in this paper a dynamic stock flow model is modified and applied to the singapore private housing market two empirical models are then constructed which offer an explanation for the dynamic patterns of both real private housing prices and new housing construction in the long run movements in the real gdp per capita and the total housing stock are found to have significant impacts on real housing prices while the user cost the public resale housing prices and the autocorrelation of housing prices with one lag explain most of the short run dynamics of real housing prices on the supply side the long run price elasticity of new housing construction is 1 31 it is also found that long run new housing construction drops 6 5 per cent for every 1 per cent increase in the total housing stock

counterinflationary policy in a unionised economy with nonsynchronised wage setting a model of the determination of wages and employment in a unionised economy with nonsynchronised wage setting is presented in this paper it is shown that a monetary deflation can lead to prolonged unemployment even though the unions act rationally and with full information about the change in policy the model generates a statistical phillips curve in which the rate of change of money wages depends on the anticipated growth rate of the money supply and on disequilibrium unemployment conventional incomes policies are shown to have desirable social effects but run counter to the perceived self interest of the trade unions and are therefore likely to be resisted taxes on wage increases have desirable long run effects but do not appear able to reduce the transitional unemployment costs of monetary deflation

admissible market data structures a complete characterization abstract this paper characterizes the market data which if observed by traders in a stochastic exchange environment will permit the general existence of rational expectations equilibria it is proved that if a trader observes and conditions his expectations on some nonconstant market data he must observe at least the equilibrium price and his own equilibrium trade any data which do not satisfy this requirement such as the price alone or the price and the volume of trade will fail to permit the existence of an expectations equilibrium for some otherwise well behaved stochastic environment

staggered vs synchronised wage setting in oligopoly abstract this paper analyses the dynamic equilibrium which emerges when wages are bargained upon at different times in the various firms operating in an oligopolistic industry unions set wages the management of the firms the output level and the outcome of this interaction is captured by the game theoretic concept of markov perfect equilibrium the steady state equilibrium is compared with that which would emerge if all wage negotiations occurred simultaneously it is shown that staggered wage setting leads to higher steady state levels of wage and unemployment than synchronised wage setting it is also shown that a longer duration for wage contracts leads other things equal to lower wages and higher employment the final part of the paper shows that allowing for nash bargaining between union and management and for risk averse unions does not alter the conclusions of the paper

learning rational expectations the finite state case this paper is devoted to the question of whether traders can learn rational expectations from repeated observations of market data in a stationary environment with finitely many exogenous states of the world the learning problem is placed in the context of an iterative adjustment process which achieves equilibrium if traders have rational expectations the main result is that even if traders begin with no knowledge of their environment there exists an estimation procedure which converges to rational expectations when the environment satisfies a certain regularity condition the regularity condition is shown to be generic

implementation of walrasian expectations equilibria in an exchange economy with differentially informed traders non exclusivity of information nei is the condition that each trader s private information be perfectly predictable by an outside observer who has observed the private information of all other traders nei is one of a set of conditions which taken together are sufficient for the implementability of fully revealing expectations equilibria here we show that this condition is in fact necessary for the weak implementation of a much broader class of walrasian equilibria herein called expectations equilibria

information acquisition and learning from prices over the business cycle abstract we study firms incentives to acquire costly information in booms and recessions to investigate the role of endogenous information in accounting for business cycles our model predicts that for a wide range of parameter values firms have a stronger incentive to acquire information when the economy has been in a recession and a pessimistic belief about the state of the economy prevails than after a boom when firms share an optimistic belief the equilibrium price system which features endogenous information transmission dampens aggregate fluctuations by discouraging information acquisition our welfare analysis reveals that information acquisition in the decentralized economy is not efficient this is due to inefficient employment dispersion arising from information heterogeneity in equilibrium time series data for the u s economy support the model s prediction of wages being more informative about total factor productivity after recessions than following booms