Can future systemic financial risks be quantified?: ergodic vs nonergodic stochastic processes
AUTOR(ES)
Davidson, Paul
FONTE
Brazilian Journal of Political Economy
DATA DE PUBLICAÇÃO
2009-12
RESUMO
Different axioms underlie efficient market theory and Keynes's liquidity preference theory. Efficient market theory assumes the ergodic axiom. Consequently, today's decision makers can calculate with actuarial precision the future value of all possible outcomes resulting from today's decisions. Since in an efficient market world decision makers "know" their intertemporal budget constraints, decision makers never default on a loan, i.e., systemic defaults, insolvencies, and bankruptcies are impossible. Keynes liquidity preference theory rejects the ergodic axiom. The future is ontologically uncertain. Accordingly systemic defaults and insolvencies can occur but can never be predicted in advance.
Documentos Relacionados
- Minimal non-ergodic (C^1)-diffeomorphisms of the circle
- CAN THE RISKS OF MYOCARDIAL INFARCTION IN PREGNANCY BE REDUCED?
- Can the learning of laparoscopic skills be quantified by the measurements of skill parameters performed in a virtual reality simulator?
- WEAK TOPOLOGIES FOR STOCHASTIC PROCESSES*
- SUBORDINATION OF NON-GAUSSIAN STOCHASTIC PROCESSES*
