Private information, growth, and asset prices with stochastic disturbances
نویسنده
چکیده
We introduce both idiosyncratic and aggregate shocks in an endogenous growth model with endogenous partial insurance to the idiosyncratic shock. Aggregate uncertainty introduces an additional channel that can play an important role in determining the effects of private information on expected growth and asset prices. We show the impact of aggregate and idiosyncratic shocks on expected growth and on the variability of individual quantities and asset prices. D 2002 Elsevier Science Inc. All rights reserved. JEL classification: E8; E9; D1; D2
منابع مشابه
Dynamics of Housing Prices and Economic Fluctuations in Iran with the Approach of Dynamic Stochastic General Equilibrium (DSGE)
This paper studies the relationship between housing prices and business cycles in Iran. Since housing has a dual nature, that is, both private and capital nature, it can play an important role in investment costs and economic growth and incite other manufacturing sectors in the country. In this paper, housing prices and business cycles have been used to measure housing as a collateral, which is...
متن کاملPrivate Information and Sunspots in Sequential Asset Markets∗
We study a model where some agents have private information about risky asset returns and trade to obtain capital gains, while others acquire the risky asset and hold it to maturity, forming expectations of returns based on market prices. We show that under such a structure, in addition to fully revealing rational expectations equilibria, there exists a continuum of equilibrium prices consisten...
متن کاملExpectations, Asset Prices, and Monetary Policy: The Role of Learning∗
This paper studies the implications of financial market imperfections represented by a countercyclical external finance premium and the gradual recognition of changes in the drift of technology growth for the design of an interest rate rule. Asset price movements induced by changes in trend growth influence balancesheet conditions that determine the external finance premium. Such movements are ...
متن کاملRational expectations equilibrium and the strategic choice of costly information
This paper studies costly information acquisition in one-good production economies when agents acquire private information and prices transmit information. Before asset markets open, agents choose the quality of their private information. After this information stage, agents trade assets in sequentially complete markets taking into account their private information and the information revealed ...
متن کاملAsset pricing under information with stochastic volatility
Based on a general specification of the asset specific pricing kernel, we develop a pricing model using an information process with stochastic volatility. We derive analytical asset and option pricing formulas. The asset prices in this rational expectations model exhibit crash-like, strong downward movements. The resulting option pricing formula is consistent with the strong negative skewness a...
متن کامل