Arbeitspapier
Information, heterogeneity and market incompleteness
We provide a microfounded account of imperfect information in a dynamic general equilibrium model by describing heterogeneous households that acquire information only through their participation in markets. Thus incomplete markets will imply incomplete information. We solve the model taking full account of the infinite regress of expectations, and show that the properties of the model change dramatically. Under virtually all calibrations the impact response of consumption to a positive aggregate technology shock is negative. If households observe a noisy public signal in addition to the information they obtain from markets, consumption responds to shocks sluggishly.
- Sprache
-
Englisch
- Erschienen in
-
Series: Kiel Working Paper ; No. 1503
- Klassifikation
-
Wirtschaft
Incomplete Markets
Expectations; Speculations
Business Fluctuations; Cycles
- Thema
-
Imperfect information
higher order expectations
Kalman Filter
dynamic general equilibrium
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Graham, Liam
Wright, Stephen
- Ereignis
-
Veröffentlichung
- (wer)
-
Kiel Institute for the World Economy (IfW)
- (wo)
-
Kiel
- (wann)
-
2009
- Handle
- Letzte Aktualisierung
-
17.11.2025, 12:26 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Graham, Liam
- Wright, Stephen
- Kiel Institute for the World Economy (IfW)
Entstanden
- 2009
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