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Asymmetric information and macroeconomic dynamics

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

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    File URL: http://www.sciencedirect.com/science/article/pii/S0378437110003717
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    Article provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.

    Volume (Year): 389 (2010)
    Issue (Month): 17 ()
    Pages: 3565-3571

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    Handle: RePEc:eee:phsmap:v:389:y:2010:i:17:p:3565-3571
    Contact details of provider: Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/

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    1. 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.
    2. 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.
    3. J. Doyne Farmer & John Geanakoplos, 2008. "The virtues and vices of equilibrium and the future of financial economics," Papers 0803.2996, arXiv.org.
    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. Plastino, A., 2004. "A conceptual framework for the Wheeler program," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 340(1), pages 85-91.
    6. 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, vol. 55(2), pages 143-147, 01.
    7. Raymond J. Hawkins & B. Roy Frieden & Joseph L. D'Anna, 2005. "Ab initio yield curve dynamics," Papers physics/0507098, arXiv.org.
    8. Hiroshi Yoshikawa, 2003. "The Role of Demand in Macroeconomics," The Japanese Economic Review, Japanese Economic Association, vol. 54(1), pages 1-27.
    9. 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, vol. 3, pages 1-17.
    10. 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.
    11. Simone Landini & Mariacristina Uberti, 2008. "A Statistical Mechanic View of Macro-dynamics in Economics," Computational Economics, Society for Computational Economics, vol. 32(1), pages 121-146, September.
    12. Joseph E. Stiglitz, 2000. "The Contributions Of The Economics Of Information To Twentieth Century Economics," The Quarterly Journal of Economics, MIT Press, vol. 115(4), pages 1441-1478, November.
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