Endogenous Public Information and Welfare in Market Games

• 成果类型: Article
• 署名作者: Vives, Xavier
• 署名单位: University of Navarra; IESE Business School
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1093/res/rdw062
• 发表日期: 2017
• 页码: 935-963
• 关键词: social value; Dispersed information; private information; acquisition; others; POLICY; aggregation; equilibrium; MODEL; tax

摘要

This article performs a welfare analysis of markets with private information in which agents condition on prices in the rational expectations tradition. Price-contingent strategies introduce two externalities in the use of private information: a pecuniary externality and a learning externality. The pecuniary externality induces agents to put too much weight on private information and in the standard case, when the allocation role of the price prevails over its informational role, overwhelms the learning externality which impinges in the opposite way. The price may be very informative but at the cost of an excessive dispersion of the actions of agents. The welfare loss at the market solution may be increasing in the precision of private information. The analysis provides insights into optimal business cycle policy and a rationale for a Tobin-like tax for financial transactions.