IDEAS home Printed from https://ideas.repec.org/a/eee/phsmap/v389y2010i17p3565-3571.html
   My bibliography  Save this article

Asymmetric information and macroeconomic dynamics

Author

Listed:
  • Hawkins, Raymond J.
  • Aoki, Masanao
  • Roy Frieden, B.

Abstract

We show how macroeconomic dynamics can be derived from asymmetric information. As an illustration of the utility of this approach we derive the equilibrium density, non-equilibrium densities and the equation of motion for the response to a demand shock for productivity in a simple economy. Novel consequences of this approach include a natural incorporation of time dependence into macroeconomics and a common information-theoretic basis for economics and other fields seeking to link micro-dynamics and macro-observables.

Suggested Citation

  • Hawkins, Raymond J. & Aoki, Masanao & Roy Frieden, B., 2010. "Asymmetric information and macroeconomic dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(17), pages 3565-3571.
  • Handle: RePEc:eee:phsmap:v:389:y:2010:i:17:p:3565-3571
    DOI: 10.1016/j.physa.2010.04.032
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0378437110003717
    Download Restriction: Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Ikeda, Yuichi & Fujiwara, Yoshi & Aoyama, Hideaki & Iyetomi, Hiroshi & Souma, Wataru, 2009. "Superstatistics of Labour Productivity in Manufacturing and Nonmanufacturing Sectors," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy (IfW), vol. 3, pages 1-17.
    2. Hiroshi Yoshikawa, 2003. "The Role of Demand in Macroeconomics," The Japanese Economic Review, Japanese Economic Association, vol. 54(1), pages 1-27.
    3. O. S. Klass & O. Biham & M. Levy & O. Malcai & S. Solomon, 2007. "The Forbes 400, the Pareto power-law and efficient markets," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 55(2), pages 143-147, January.
    4. Hernando, A. & Vesperinas, C. & Plastino, A., 2010. "Fisher information and the thermodynamics of scale-invariant systems," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(3), pages 490-498.
    5. Raymond J. Hawkins & B. Roy Frieden & Joseph L. D'Anna, 2005. "Ab initio yield curve dynamics," Papers physics/0507098, arXiv.org.
    6. J. Doyne Farmer & John Geanakoplos, 2008. "The Virtues and Vices of Equilibrium and the Future of Financial Economics," Levine's Working Paper Archive 122247000000002067, David K. Levine.
    7. D. C. Brody & L. P. Hughston, 2002. "Entropy and information in the interest rate term structure," Quantitative Finance, Taylor & Francis Journals, vol. 2(1), pages 70-80.
    8. Joseph E. Stiglitz, 2000. "The Contributions of the Economics of Information to Twentieth Century Economics," The Quarterly Journal of Economics, Oxford University Press, vol. 115(4), pages 1441-1478.
    9. Frieden, B. Roy & Hawkins, Raymond J., 2010. "Asymmetric information and economics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(2), pages 287-295.
    10. Simone Landini & Mariacristina Uberti, 2008. "A Statistical Mechanic View of Macro-dynamics in Economics," Computational Economics, Springer;Society for Computational Economics, vol. 32(1), pages 121-146, September.
    11. Plastino, A., 2004. "A conceptual framework for the Wheeler program," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 340(1), pages 85-91.
    12. Hideaki Aoyama & Yoshi Fujiwara & Yuichi Ikeda & Hiroshi Iyetomi & Wataru Souma, 2009. "Superstatistics of Labour Productivity in Manufacturing and Nonmanufacturing Sectors," Papers 0901.1500, arXiv.org.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Tilles, Paulo F.C. & Ferreira, Fernando F. & Francisco, Gerson & Pereira, Carlos de B. & Sarti, Flavia M., 2011. "A Markovian model market—Akerlof’s lemons and the asymmetry of information," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(13), pages 2562-2570.
    2. Bagarello, F. & Haven, E., 2014. "The role of information in a two-traders market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 404(C), pages 224-233.
    3. Aoki, Masanao & Hawkins, Raymond J., 2010. "Non-self-averaging and the statistical mechanics of endogenous macroeconomic fluctuations," Economic Modelling, Elsevier, vol. 27(6), pages 1543-1546, November.
    4. Khrennikova, Polina, 2016. "Application of quantum master equation for long-term prognosis of asset-prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 450(C), pages 253-263.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:phsmap:v:389:y:2010:i:17:p:3565-3571. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/ .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.