Public disclosure and private information acquisition: A global game approach

• 成果类型: Article
• 署名作者: Cai, Zhifeng; Dong, Feng
• 署名单位: Rutgers University System; Rutgers University New Brunswick; Tsinghua University
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2023.105670
• 发表日期: 2023
• 关键词: Information disclosure; information acquisition; dynamic complementarity; global games; strategic uncertainty

摘要

This paper studies public information disclosure in a model of dynamic financial markets with endoge-nous information acquisition. Due to an information complementarity, multiple equilibria may emerge, complicating comparative statics analysis. By adding noise to agents' information costs, we establish equi-librium uniqueness using global-game techniques. We show that while public information always crowds out private information in all underlying equilibria, it can crowd in private information acquisition in the unique global-game equilibrium. This result is driven by the strategic uncertainty introduced through the global-game refinement. The crowding-in effect is more pronounced when there is a high level of funda-mental uncertainty, which supports the case for greater information disclosure during times of increased market volatility.(c) 2023 Elsevier Inc. All rights reserved.