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Berentsen, Aleksander; Rocheteau, Guillaume - 2004

This paper investigates the role of fiat money in decentralized markets, where producers have private information about … the quality of the goods they supply. Money is divisible, terms of trade are determined endogenously, and agents can … finance their consumption with money or with real production. When the fraction of high quality producers in the economy is …

Persistent link: https://www.econbiz.de/10014120531

The Evolution of Money as a Medium of Exchange

Luo, Guo Ying - 2009

This paper uses an evolutionary approach to explain the origin of money as media of exchange in a primitive economy …

Persistent link: https://www.econbiz.de/10014207917

A theory of multidimensional information disclosure

Tamura, Wataru - 2012

We study disclosure of information about the multidimensional state of the world when uninformed receivers' actions affect the sender's utility. Given a disclosure rule, the receivers form an expectation about the state following each message. Under the assumption that the sender's expected...

Persistent link: https://www.econbiz.de/10009419552

Endogenous Information and Central Bank Transparency

Tamura, Wataru - 2015

This paper studies monetary policy under discretion when the central bank ex ante determines information to be acquired and made public. In a general setting, wherein a monetary instrument signals the central bank's private information, I show that an optimal information policy comprises the...

Persistent link: https://www.econbiz.de/10013026571

Monetary policy under imperfect information and consumer confidence

Brenneisen, Jan-Niklas - 2020 - This version: July 23, 2020.

Although it is generally accepted that consumer confidence measures are informative signals about the state of the economy, theoretical macroeconomic models designed for the analysis of monetary policy typically do not provide a role for them. I develop a framework with asymmetric information in...

Persistent link: https://www.econbiz.de/10012269096

An Explanation for the Price Puzzle : Asymmetric Information and Expectation Dynamics

Tas, Bedri Kamil Onur - 2011

Using theoretical and empirical analyses, this paper shows that the expectation dynamics induced by information asymmetry between the Central Bank (CB) and the public can cause the price puzzle. The signalling and learning dynamics between the CB and a representative private-sector agent under...

Persistent link: https://www.econbiz.de/10014177978

Limelight on dark markets : an experimental study of liquidity and information

Berentsen, Aleksander; McBride, Michael; Rocheteau, … - 2013

The goal of this paper is to study how informational frictions affect asset liquidity in OTC markets in a laboratory setting. The experiments replicate an OTC market similar to the one used in monetary and financial economics (Shi, 1995; Trejos and Wright, 1995; Duffie, Garleanu, and Pedersen, 2005):...

Persistent link: https://www.econbiz.de/10009763984

The Stability of Macroeconomic Systems with Bayesian Learners

Suda, Jacek - 2011

We study abstract macroeconomic systems in which expectations play an important role. Consistent with the recent literature on recursive learning and expectations, we replace the agents in the economy with econometricians. Unlike the recursive learning literature, however, the econometricians in...

Persistent link: https://www.econbiz.de/10013122565

Dynamic Asset Allocation Based on Valuation and Momentum Applied to a Global All-Equity Portfolio

White, James - 2020

There has been considerable research into dynamic global tactical asset allocation (GTAA) strategies driven by simple measures of Valuation and Momentum applied to a baseline balanced portfolio of equities and fixed income (see Blitz and van Vliet 2008, Wang and Kochard 2011, Gnedenko and Yelnik...

Persistent link: https://www.econbiz.de/10012838940

What Our Market Return Forecasts Really Mean : Convexity in Equity Returns and its Implications for Investment Sizing

Haghani, Victor - 2019

You're probably familiar, at least in passing, with the 'convexity' of long-term bonds - i.e. that yields dropping 1% produce a bigger price move than yields rising 1%. A significant amount of brainpower has gone into understanding all the ramifications of this convexity in the fixed income...

Persistent link: https://www.econbiz.de/10012902324

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