Information and volatility

• 成果类型: Article
• 署名作者: Bergemann, Dirk; Heumann, Tibor; Morris, Stephen
• 署名单位: Yale University; Princeton University
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2014.12.002
• 发表日期: 2015
• 页码: 427-465
• 关键词: idiosyncratic shocks; aggregate shocks; volatility; Confounding information; Moment restrictions; Bayes correlated equilibrium

摘要

In an economy of interacting agents with both idiosyncratic and aggregate shocks, we examine how the structure of private information influences aggregate volatility. The maximal aggregate volatility is attained in a noise free information structure in which the agents confound idiosyncratic and aggregate shocks, and display excess response to the aggregate shocks, as in Lucas [14]. For any given variance of aggregate shocks, the upper bound on aggregate volatility is linearly increasing in the variance of the idiosyncratic shocks. Our results hold in a setting of symmetric agents with linear best responses and normal uncertainty. We establish our results by providing a characterization of the set of all joint distributions over actions and states that can arise in equilibrium under any information structure. This tractable characterization, extending results in Bergemann and Morris [8], can be used to address a wide variety of questions linking information with the statistical moments of the economy. (C) 2014 Elsevier Inc. All rights reserved.