MIT Shocks Imply Market Incompleteness

Toshihiko Mukoyama

Working Papers from Georgetown University, Department of Economics

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)
Pages: 20
Date: 2020-11-16
New Economics Papers: this item is included in nep-dge and nep-mac
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Journal Article: MIT shocks imply market incompleteness (2021)
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