On the Relation between Private Information and Non-Fundamental Volatility

被引：0

作者：

Shim, Myungkyu ^{[1
]}

Song, Doyoung ^{[1
,2
]}

机构：

[1] Yonsei Univ, Sch Econ, Seoul, South Korea

[2] Univ Calif San Diego, Dept Econ, La Jolla, CA 92093 USA

来源：

B E JOURNAL OF THEORETICAL ECONOMICS | 2023年 / 23卷 / 02期

关键词：

coordination game; financial prices; non-fundamental volatility; dispersed information; SOCIAL VALUE; MULTIPLICITY;

D O I：

10.1515/bejte-2021-0166

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

It is a well-established property that more precise private information leads to lower non-fundamental volatility in a coordination economy with dispersed information. In this note, we identify conditions under which such an argument holds or does not hold. In particular, we show that the opposite relationship holds when (1) there is a strong positive correlation between private information of different agents and (2) public information is endogenously generated.

引用

页码：809 / 821

页数：13

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