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来源类型Working Paper
规范类型报告
DOI10.3386/w11015
来源IDWorking 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
URLhttps://www.nber.org/papers/w11015
来源智库National Bureau of Economic Research (United States)
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条目标识符http://119.78.100.153/handle/2XGU8XDN/568650
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GB/T 7714
George-Marios Angeletos,Ivan Werning. Crises and Prices: Information Aggregation, Multiplicity and Volatility. 2004.
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