Crises and prices: information aggregation, multiplicity and volatility
"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 e...
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge, Mass.
National Bureau of Economic Research
2004
|
| Schriftenreihe: | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series
11015 |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | "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"--National Bureau of Economic Research web site. |
| Beschreibung: | 36 S. graph. Darst. |
Internformat
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Datensatz im Suchindex
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| author | Angeletos, Marios Werning, Iván 1974- |
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| discipline | Wirtschaftswissenschaften |
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| id | DE-604.BV019884199 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T20:08:21Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-013208296 |
| oclc_num | 57424333 |
| open_access_boolean | 1 |
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| owner_facet | DE-703 DE-521 DE-19 DE-BY-UBM |
| physical | 36 S. graph. Darst. |
| publishDate | 2004 |
| publishDateSearch | 2004 |
| publishDateSort | 2004 |
| publisher | National Bureau of Economic Research |
| record_format | marc |
| series | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| series2 | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| spelling | Angeletos, Marios Verfasser (DE-588)128636017 aut Crises and prices information aggregation, multiplicity and volatility George-Marios Angeletos ; Iván Werning Cambridge, Mass. National Bureau of Economic Research 2004 36 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 11015 "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"--National Bureau of Economic Research web site. Ökonometrisches Modell Financial crises Econometric models Werning, Iván 1974- Verfasser (DE-588)128970103 aut Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 11015 (DE-604)BV002801238 11015 http://papers.nber.org/papers/w11015.pdf kostenfrei Volltext |
| spellingShingle | Angeletos, Marios Werning, Iván 1974- Crises and prices information aggregation, multiplicity and volatility National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series Ökonometrisches Modell Financial crises Econometric models |
| title | Crises and prices information aggregation, multiplicity and volatility |
| title_auth | Crises and prices information aggregation, multiplicity and volatility |
| title_exact_search | Crises and prices information aggregation, multiplicity and volatility |
| title_full | Crises and prices information aggregation, multiplicity and volatility George-Marios Angeletos ; Iván Werning |
| title_fullStr | Crises and prices information aggregation, multiplicity and volatility George-Marios Angeletos ; Iván Werning |
| title_full_unstemmed | Crises and prices information aggregation, multiplicity and volatility George-Marios Angeletos ; Iván Werning |
| title_short | Crises and prices |
| title_sort | crises and prices information aggregation multiplicity and volatility |
| title_sub | information aggregation, multiplicity and volatility |
| topic | Ökonometrisches Modell Financial crises Econometric models |
| topic_facet | Ökonometrisches Modell Financial crises Econometric models |
| url | http://papers.nber.org/papers/w11015.pdf |
| volume_link | (DE-604)BV002801238 |
| work_keys_str_mv | AT angeletosmarios crisesandpricesinformationaggregationmultiplicityandvolatility AT werningivan crisesandpricesinformationaggregationmultiplicityandvolatility |