Aggregate shocks or aggregate information? Costly information and business cycle comovement

• 成果类型: Article
• 署名作者: Veldkamp, Laura; Wolfers, Justin
• 署名单位: New York University; University of Pennsylvania
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2007.06.001
• 发表日期: 2007
• 页码: S37-S55
• 关键词: business cycles; comovement puzzle; information markets

摘要

Synchronized expansions and contractions across sectors define business cycles. Yet synchronization is puzzling because productivity across sectors exhibits weak correlation. While previous explanations emphasized production complementarity, our analysis explores complementarity in information acquisition. Because information about future productivity has a high fixed cost of production and a low marginal cost of replication, sectors can share the cost of acquiring aggregate information, rather than each paying the full production cost to forecast their sector-specific productivity. Sectors with common, aggregate information make highly correlated production choices. By filtering out sector-specific shocks and transmitting aggregate ones, information markets amplify business-cycle comovement. (C) 2007 Elsevier B.V. All rights reserved.