Barthalon Uncertainty, Expectations, and Financial Instability

Reviving Allais's Lost Theory of Psychological Time
1. Auflage 2014
ISBN: 978-0-231-53830-5
Verlag: De Gruyter
Format: EPUB
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 448 Seiten, Format (B × H): 152 mm x 229 mm

Eric Barthalon applies the neglected theory of psychological time and memory decay of Maurice Allais to model investors’ psychology in the present context of recurrent financial crises

Autoren/Hrsg.

Barthalon, Eric

Fachgebiete

• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Geschichte der VWL
• Wirtschaftswissenschaften Volkswirtschaftslehre Internationale Wirtschaft Internationale Finanzmärkte
• Sozialwissenschaften Psychologie Psychologische Disziplinen Wirtschafts-, Arbeits- und Organisationspsychologie
• Interdisziplinäres Wissenschaften Wissenschaften: Forschung und Information Entscheidungstheorie, Sozialwahltheorie
• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Verhaltensökonomik
• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Makroökonomie
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Internationale Finanzmärkte

Inhaltsverzeichnis

List of Tables
List of Figures
Preface
Acknowledgments
Introduction
Glossary of Mathematical Symbols in Order of Appearance
Part 1. The Progressive Emergence of Expectations in Economic Theory
1. Expectations Before the Rational Expectations Revolution
2. Rational Expectations Are Endogenous to and Abide by ''the'' Model
Part 2. Allais's Theory of "Expectations" Under Uncertainty
3. Macrofoundations of Monetary Dynamics
4. Microfoundations of Monetary Dynamics: The HRL Formulation of the Demand for Money
5. The Fundamental Equation of Monetary Dynamics
6. Joint Testing of the HRL Formulation of the Demand for Money and of the Fundamental Equation of Monetary Dynamics
Part 3. Transposing the HRL Formulation to Financial Markets: Preliminary Steps
7. Allais's HRL Formulation: Illustration of Its Dynamic Properties by an Example of Hyperinflation (Zimbabwe 2000-2008)
8. The HRL Formulation and Nominal Interest Rates
Part 4. The HRL Formulation and Financial Instability
9. Perceived Returns and the Modeling of Financial Behavior
10. Downside Potential Under Risk: The Allais Paradox and Its Conflicting Interpretations
11. Downside Potential Under Uncertainty: The Perceived Risk of Loss
12. Conclusion
Appendix A: How to Compute Zn and zn
Appendix B: Nominal Interest Rates and the Perceived Rate of Nominal Growth
Appendix C: Proofs
Appendix D: Comparison Between the Kalman Filter and Allais's HRL Algorithm
Appendix E: A Note on the Theory of Intertemporal Choice
Appendix F: Allais's Cardinal Utility Function
Notes
Bibliography
Index

Leseproben

Read the first chapter, "Expectations Before the Rational Expectations Revolution":

Über Autor(innen)

Eric Barthalon is the global head of capital markets and tactical asset allocation at Allianz Investment Management in Munich, Germany. Throughout more than three decades of exposure to capital markets in global financial institutions (at Paribas and Allianz), in which he has focused constantly on asset management, Barthalon has sought to blend operational and research responsibilities, action with theoretical reflection. He received a Masters in Management from ESCP–Europe.