题 目：Strong Bubbles and Common Expected Bubbles in a Finite Horizon Model

讲座人：郑捷博士

清华大学经济管理学院

时 间：2011年10月27日（星期四）16：30—18：00

地 点：经济楼D110

主办单位：王亚南经济研究院

经济学院

摘要：An expected bubble is said to exist if it is mutual knowledge that the price of the asset is higher than the expected dividend. Similarly we call it a strong bubble if everyone knows that the price is higher than the maximum possible dividend. Substituting common knowledge for mutual knowledge, I develop the new concepts of a common expected bubble and a common strong bubble. In a simple fnite horizon model with asymmetric information and short sales constraints following Allen, Morris and Postlewaite(1993), I show that the following results hold for any fnite number of agents. First, under the implicit assumption of perfect memory, common strong bubbles never exist in any rational expectations equilibrium. Second, it is possible to have one that is both a strong bubble and a common expected bubble in a rational expectations equilibrium. Furthermore, the second result is robust to both strongly symmetric perturbations in beliefs and very symmetric perturbations in dividends. A counterexample of the first result is possible when agents are forgetful.

CV_Jie Zheng_20111017_short.pdf