An equilibrium analysis of information aggregation and fluctuations in markets with discrete decisions

• 成果类型: Article
• 署名作者: Beaudry, P; González, FM
• 署名单位: University of British Columbia; National Bureau of Economic Research
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/S0022-0531(03)00081-4
• 发表日期: 2003
• 页码: 76-103
• 关键词: investment fluctuations; information aggregation; equilibrium randomness

摘要

This paper shows how the interaction between decentralized information gathering and discreteness of investment decisions at the individual level can generate random fluctuations in aggregate investment that involve occasionally large allocation errors. This interaction is illustrated in a model in which private information is costly to acquire and prices reveal information. The unique rational expectations equilibrium outcome of the model is shown to always be noisy and characterized by investment levels which may be high simply because uninformed investors are buying under the impression that the high price is a signal of good investment opportunities. (C) 2003 Elsevier Science (USA). All rights reserved.