Information Revelation and Market Incompleteness
نویسندگان
چکیده
منابع مشابه
Information Revelation and Market Incompleteness
This paper introduces a theory of market incompleteness based on the information transmission role of prices and its adverse impact on the provision of insurance in financial markets. We analyse a simple security design model in which the number and payoff of securities are endogenous. Agents have rational expectations and differ in information, endowments, and attitudes toward risk. When marke...
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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 aggregat...
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Geographically dispersed sellers in electronic reverse-marketplaces such as those hosted by Freemarkets are uncertain about the number of others sellers in any given market session. Over the course of several market sessions, they learn about the competitive structure of their market. How sellers learn to reduce the level of market structure uncertainty, is dependent on the market transparency ...
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We study a financial market economy with a continuum of borrowers and pooling of borrowers’ promises. Under these conditions and in the absence of designing costs, utility-maximizing decisions of price-taking borrowersmay lead to financial market incompleteness. Parametrizing equilibria through the borrowers’ no-arbitrage beliefs, we link expectations to the financial market structure. Markets ...
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In this paper, we show that within the set of stochastic three-periodlived OLG economies with productive assets (such as land), markets are necessarily sequentially incomplete, and agents in the model do not share risk optimally. We start by characterizing perfect risk sharing and nd that it requires a state-dependent consumption claims which depend only on the exogenous shock realizations. We...
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ژورنال
عنوان ژورنال: Review of Economic Studies
سال: 2000
ISSN: 0034-6527,1467-937X
DOI: 10.1111/1467-937x.00144