Endogenous Market Volatility Based On Rational Heterogeneous Beliefs

Economic expectations or beliefs of the main formation is an important topic of modern economics and finance. The economic theory of rational expectations theory and behavior is the current expectations or beliefs of the two major research paradigm. Rational expectations that economic agents make full use of all available information, and therefore will not make systematic errors. The behavior of the economy is that economic agents, there are a variety of psychological, cognitive or behavioral deviations, the irrational or limited rational, economic agents often make mistakes. Logical and rational expectations rational heterogeneous beliefs, behavioral and economic research paradigm is different. Rational heterogeneous beliefs is to have a different understanding of economic subjects, though they have the same information on the same economic phenomenon, but they are rational economic entities. Formation process in accordance with the rational heterogeneous beliefs, the beliefs of economic entities to meet the statistical laws based on historical data, so economic agents are rational; same time, due to the economic structure and social system has a non-stability, and economic entities on the subjective probability of economic variables often deviate from the true objective probability, and the different economic entities subjective probability distribution of individual beliefs often exhibit heterogeneity. Based on the above understanding, rational theory of heterogeneous beliefs think the heterogeneous individuals plus total belief most cases are unable to get a stable market beliefs, heterogeneous beliefs enough to produce more than the exogenous shocks endogenous uncertainty. This uncertainty by some propagation mechanism, making the economy not by the exogenous external shocks can still show volatility, showing all kinds of visions contrary to the classical theory. Visible, rational heterogeneous beliefs provide a new starting point and framework. Traditional topics based on this framework, the study of asset price behavior of the micro-level, the macro level of the exchange rate determination and currency non-neutral, you can get a fresh understanding. Based on rational theory of heterogeneous beliefs, respectively, from the micro and macro levels of market and economic fluctuations. The main task of this study includes two aspects:First the theory of for tracking foreign economic and financial research frontier; foreign achievements and research paradigm, empirical research combined with the actual situation of the Chinese market. This paper studies the following:First, the first chapter is the introduction. The issues raised in this chapter, the research rational theory of heterogeneous beliefs with what significance? Prompt me to study the reasons of rational theory of heterogeneous beliefs? To solve these problems, it is particularly important to this paper, two empirical facts. The first empirical facts, belief differences (heterogeneity of beliefs) is a ubiquitous empirical fact, is not a theoretical hypothesis; The second empirical facts, economic activity showed excessive volatility. When used herein the term "volatility" when paper is used in a broad sense various phenomena of the times, including on the microscopic point of the price volatility of the financial markets and the macro within the economic cycle.The second, the second chapter is the literature review, the main thought of the theory of heterogeneous beliefs under review. The chapter The problem is, and economics rational the heterogeneity thinking exactly where they come from? At present, the progress of research on rational heterogeneous beliefs? The conclusion of this chapter:the existing heterogeneous beliefs literature often rely on irrational assumptions, and the lack of a unified framework; rational the heterogeneity belief theory provides a new perspective and a unified framework.Third, the third chapter is rational, heterogeneity and market volatility. Chapter is to further study the need for a rational premise? Heterogeneous beliefs affect asset prices? The conclusion of this chapter is:rational assumptions realistic in most cases, it has been the mainstream of intellectual; heterogeneous beliefs do affect asset prices and volatility, even within the traditional framework.Fourth, Chapter rational expectations, the information asymmetry and market volatility. The chapter The problem is whether the rational expectations theory and the theory of asymmetric information can explain the real problem? The conclusion of this chapter is:rational expectations theory can only explain a small part of the market volatility; additional unreasonable assumption, can explain fluctuations; asymmetric information assumption has limitations, especially public information sufficient conditions.Fifth, the fifth chapter is the introduction of a rational theory of heterogeneous beliefs under the common information. The chapter The problem is:rational the heterogeneous beliefs ability to explain the reality of the problem? This chapter, the answer is:rational theory of heterogeneous beliefs provide a unified perspective for the study of market volatility; the belief disagreements own enough to produce significant fluctuations. Compared with the exogenous fluctuations, beliefs arising from fluctuations called endogenous fluctuations.Sixth, Chapter â…£ is a simulation analysis of the rational market volatility heterogeneous beliefs. This chapter problems:rational theory of heterogeneous beliefs in empirical characteristics to explain the reality of the market volatility? The conclusion of this chapter:simulation analysis found that, under certain belief structure, rational theory of heterogeneous beliefs than rational expectations theory to better explain the actual market fluctuations.The Seventh Chapter â…¦ Conclusion and Outlook. This chapter, the question is: rational theory of heterogeneous beliefs whether enough perfect? Can not explain other economic phenomena? The conclusion of this chapter is still not perfect:a rational theory of heterogeneous beliefs; rational the heterogeneity belief theory can be applied to other problems.