Crises and Prices: Information Aggregation, Multiplicity and Volatility
نویسندگان
چکیده
منابع مشابه
Crises and Prices: Information Aggregation, Multiplicity, and Volatility
Crises are volatile times when endogenous sources of information are closely monitored. We study the role of information in crises by introducing a financial market in a coordination game with imperfect information. The asset price aggregates dispersed private information acting as a public noisy signal. In contrast to the case with exogenous information, our main result is that uniqueness may ...
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Governments intervene in firms’ lives in a variety of ways. To enhance the efficiency of government intervention, many researchers and policy makers call for governments to make use of information contained in stock market prices. However, price informativeness is endogenous to government policy. We analyze government policy in light of this endogeneity. In some cases, it is optimal for a gover...
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I revisit the relationship between growth and volatility in two di¤erent disaggregated data sets. I con...rm that growth and volatility are negatively related across countries, but show that across sectors, the relation is the opposite. This phenomenon, sometimes called “Simpson’s fallacy”, has a natural interpretation in the present context: it is the component of aggregate volatility that is ...
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In an economy of interacting agents with both idiosyncratic and aggregate shocks, we examine how the information structure determines aggregate volatility. We show that the maximal aggregate volatility is attained in a noise free information structure in which the agents confound idiosyncratic and common components of the payoff state, and display excess response to the common component, as in ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2004
ISSN: 1556-5068
DOI: 10.2139/ssrn.634881