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Brazilian Journal of Political Economy

versão impressa ISSN 0101-3157

Resumo

DAVIDSON, Paul. Can future systemic financial risks be quantified?: ergodic vs nonergodic stochastic processes. Rev. Econ. Polit. [online]. 2009, vol.29, n.4, pp.324-340. ISSN 0101-3157.  https://doi.org/10.1590/S0101-31572009000400001.

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.

Palavras-chave : ergodic axiom; efficient market theory; liquidity preference theory; probabilistic risk; uncertainty.

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