MIT shocks imply market incompleteness

Toshihiko Mukoyama

Economics Letters, 2021, vol. 198, issue C

Abstract: The allocation after an unanticipated event (often called an “MIT shock”) is different from the allocation of a corresponding complete-market model that explicitly considers the possibility of the shock, even when the probability of the event approaches zero.

Keywords: MIT shock; Incomplete markets (search for similar items in EconPapers)
JEL-codes: D52 E32 E60 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (1)

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Working Paper: MIT Shocks Imply Market Incompleteness (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:198:y:2021:i:c:s0165176520304262

DOI: 10.1016/j.econlet.2020.109666

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