Sequential trading with coarse contingencies
成果类型：
Article
署名作者：
Auster, Sarah; Kettering, Jeremy; Kochov, Asen
署名单位：
University of Bonn; Alvernia University; University of Rochester
刊物名称：
JOURNAL OF ECONOMIC THEORY
ISSN/ISSBN：
0022-0531
DOI：
10.1016/j.jet.2024.105874
发表日期：
2024
关键词：
摘要：
We consider a dynamic pure exchange economy in which agents have a coarse perception of the future, and awareness emerges gradually over time. We make the key assumption that awareness of a shock to agents' endowments emerges before the shock hits, so agents can adapt by purchasing (or selling) insurance. We provide an irrelevance theorem showing that, under suitable conditions, unawareness matters if and only if it concerns aggregate shocks. In particular, if the unforeseen endowment shocks are purely idiosyncratic, there is no loss of efficiency with respect to the economy with perfect foresight. Building on this result, we show three key implications of unforeseen aggregate shocks: the possibility of noncomonotonic consumption allocations, a systematic bias in asset prices that gives rise to opportunities for intertemporal arbitrage, and the potential of unexpected default due to the agents' inability to repay (roll over) prior debt.