| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w11015 |
| 来源ID | Working Paper 11015 |
| Crises and Prices: Information Aggregation, Multiplicity and Volatility | |
| George-Marios Angeletos; Ivan Werning | |
| 发表日期 | 2004-12-27 |
| 出版年 | 2004 |
| 语种 | 英语 |
| 摘要 | Many argue that crises -- such as currency attacks, bank runs and riots -- can be described as times of non-fundamental volatility. We argue that crises are also times when endogenous sources of information are closely monitored and thus an important part of the phenomena. We study the role of endogenous information in generating volatility by introducing a financial market in a coordination game where agents have heterogeneous information about the fundamentals. The equilibrium price aggregates information without restoring common knowledge. In contrast to the case with exogenous information, we find that uniqueness may not be obtained as a perturbation from common knowledge: multiplicity is ensured when individuals observe fundamentals with small idiosyncratic noise. Multiplicity may emerge also in the financial price. When the equilibrium is unique, it becomes more sensitive to non-fundamental shocks as private noise is reduced. |
| 主题 | Microeconomics ; Economics of Information ; Macroeconomics ; Monetary Policy ; International Economics ; International Finance ; Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w11015 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/568650 |
| 推荐引用方式 GB/T 7714 | George-Marios Angeletos,Ivan Werning. Crises and Prices: Information Aggregation, Multiplicity and Volatility. 2004. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w11015.pdf（873KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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