Information, stabilité des prix et bien-être
In the context of a stationary economy, where markets for long-lived real assets open periodically, we analyze the welfare effect of the information structure. At each period, agents receive a signal related to the future dividends of assets. Whenever the quality of the information increases, the price volatility increases. Assets dividends are more predictable but at the expense of a higher capital risk, since future prices are less predictable. The global risk on assets returns may then increase, resulting in a lower welfare level. The paper exhibits an example where, due to this effect, agents prefer a structure where nobody receives any information to any other stationary information structure.
Year of publication: |
1993
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Authors: | JULLIEN, Bruno |
Published in: |
Annales d'Economie et de Statistique. - École Nationale de la Statistique et de l'Admnistration Économique (ENSAE). - 1993, 32, p. 1-15
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Publisher: |
École Nationale de la Statistique et de l'Admnistration Économique (ENSAE) |
Saved in:
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