Information, heterogeneity and market incompleteness

• 成果类型: Article
• 署名作者: Graham, Liam; Wright, Stephen
• 署名单位: University of London; University College London; University of London; Birkbeck University London
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2009.12.005
• 发表日期: 2010
• 页码: 164-174
• 关键词: imperfect information; Higher order expectations; Kalman filter; Dynamic general equilibrium

摘要

Information is market-consistent if agents only use market prices to infer the underlying states of the economy. This paper applies this concept to a stochastic growth model with incomplete markets and heterogeneous agents. The economy with market-consistent information can never replicate the full information equilibrium, and there are substantial differences in impulse responses to aggregate productivity shocks. These results are robust to the introduction of a noisy public signal and aggregate financial markets. We argue that the principle of market-consistent information should be applied to any model with incomplete markets. (C) 2009 Elsevier B.V. All rights reserved.