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Private information, growth, and asset prices with stochastic disturbances

  • Bianconi, Marcelo

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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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
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620165

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