Asymmetric information and macroeconomic dynamics
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.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 389 (2010)
Issue (Month): 17 ()
|Contact details of provider:|| Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Hiroshi Yoshikawa, 2003. "The Role of Demand in Macroeconomics," The Japanese Economic Review, Japanese Economic Association, vol. 54(1), pages 1-27.
- 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.
- J. Doyne Farmer & John Geanakoplos, 2008. "The virtues and vices of equilibrium and the future of financial economics," Papers 0803.2996, arXiv.org.
- J. Doyne Farmer & John Geanakoplos, 2008. "The Virtues and Vices of Equilibrium and the Future of Financial Economics," Cowles Foundation Discussion Papers 1647, Cowles Foundation for Research in Economics, Yale University.
- 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.
- 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.
- 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.
- 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.
- 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.
- Raymond J. Hawkins & B. Roy Frieden & Joseph L. D'Anna, 2005. "Ab initio yield curve dynamics," Papers physics/0507098, arXiv.org.
- 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.
- 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.
- Plastino, A., 2004. "A conceptual framework for the Wheeler program," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 340(1), pages 85-91.
- 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)