Title of article :
Information,heterogeneityandmarketincompleteness$
Author/Authors :
Liam Graham، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2010
Abstract :
Informationis‘‘market-consistent’’ifagentsonlyusemarketpricestoinferthe
underlyingstatesoftheeconomy.Thispaperappliesthisconcepttoastochasticgrowth
modelwithincompletemarketsandheterogeneousagents.Theeconomywithmarket-
consistentinformationcanneverreplicatethefullinformationequilibrium,andthere
aresubstantialdifferencesinimpulseresponsestoaggregateproductivityshocks.These
resultsarerobusttotheintroductionofanoisypublicsignalandaggregatefinancial
markets.Wearguethattheprincipleofmarket-consistentinformationshouldbe
appliedtoanymodelwithincompletemarkets
Keywords :
Imperfect informationHigher orderexpectationsKalman filterDynamic generalequilibrium
Journal title :
Journal of Monetary Economics
Journal title :
Journal of Monetary Economics
