Dynamic information acquisition and time-varying uncertainty

• 成果类型: Article
• 署名作者: Cai, Zhifeng
• 署名单位: Rutgers University System; Rutgers University New Brunswick
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2019.104947
• 发表日期: 2019
• 关键词: information acquisition; financial markets; dynamic complementarity; multiplicity

摘要

This paper studies the role of information acquisition in propagating/stabilizing uncertainty shocks in a dynamic financial market. In a static world, uncertainty raises the value of information, which encourages more information acquisition. In a dynamic world, however, uncertainty can depress information acquisition through a dynamic complementarity channel: More uncertainty induces future investors to trade more cautiously. This renders future resale stock price less informative and reduces the value of information today. Due to the dynamic complementarity, transitory uncertainty shocks can have long-lasting impacts. Direct government purchases can stimulate information production, eliminate equilibrium multiplicity, and attenuate the impacts of uncertainty shocks by raising the effective risk-bearing capacity of the informed investors. (C) 2019 Elsevier Inc. All tights reserved.