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Private information, growth, and asset prices with stochastic disturbances

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  • Bianconi, Marcelo

Abstract

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.

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Bibliographic Info

Article provided by Elsevier in its journal International Review of Economics & Finance.

Volume (Year): 12 (2003)
Issue (Month): 1 ()
Pages: 1-24

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Handle: RePEc:eee:reveco:v:12:y:2003:i:1:p:1-24

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Web page: http://www.elsevier.com/locate/inca/620165

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  1. Pischke, J.S., 1993. "Individual Income, Incomplete Information, and Aggregate Consumption," Working papers 93-16, Massachusetts Institute of Technology (MIT), Department of Economics.
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Cited by:
  1. Lee, Chien-Chiang & Chiu, Yi-Bin, 2012. "The impact of real income on insurance premiums: Evidence from panel data," International Review of Economics & Finance, Elsevier, vol. 21(1), pages 246-260.
  2. Marcelo Bianconi, 2004. "Aggregate and Idiosyncratic Risk and the Behavior of Individual Preferences under Moral Hazard," Discussion Papers Series, Department of Economics, Tufts University 0410, Department of Economics, Tufts University.

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