Re:1 Mo. Treasury Jumps from 10 to 27 bps in 7 days
by JumpCrisscross on Tuesday October 08, 2013 @10:39PM
(#6519140)
Endogeneity refers to the causality loop. The markets are judging the probability of the U.S. defaulting. The market's judgement, in turn, affects the probability of the U.S. defaulting. This will tend to produce a system exhibiting self-organised criticality.
The probability of the critical point being tripped could be heteroscedastically distributed. But that's not the same thing as saying the market judgement is endogenous to its prediction.
The probability of the critical point being tripped could be heteroscedastically distributed. But that's not the same thing as saying the market judgement is endogenous to its prediction.