Incomplete Risk Sharing Arrangements and the Value of Information.

The paper constructs a theoretical framework in which the value of information in general equilibrium can be linked to the efficiency of the risk sharing mechanism. We demonstrate that in economies with production, information may have negative value even though no risk sharing markets exist. As a rule of thumb the value of information tends to be lower the more efficiently macroeconomic risks are allocated. In particular, for parametrizations which result in a perfectly inefficient risk allocation the Blackwell Theorem generalizes to full equilibrium.