Information Acquisition, Efficiency, and Nonfundamental Volatility

• 成果类型: Article
• 署名作者: Hebert, Benjamin; La'O, Jennifer
• 署名单位: Stanford University; National Bureau of Economic Research; Columbia University
• 刊物名称: JOURNAL OF POLITICAL ECONOMY
• ISSN/ISSBN: 0022-3808
• DOI: 10.1086/724575
• 发表日期: 2023
• 页码: 2666-2723
• 关键词: Endogenous information; social value; COORDINATION; optimality; prices; games

摘要

We analyze efficiency and nonfundamental volatility in a class of generalized beauty-contest economies with endogenous information. As in models of rational-expectations equilibria, agents learn about exogenous states and endogenous aggregate actions. As in models of rational inattention, agents choose their information structures subject to a cost. We identify conditions on information costs that guarantee the existence of efficient or inefficient equilibria; we further identify conditions that guarantee the existence or nonexistence of equilibria with zero nonfundamental volatility. Mutual information, the cost typically assumed in rational-inattention models, guarantees the existence of an efficient equilibrium with zero nonfundamental volatility.