volatility for a given distribution of the payoff states. We show that the maximal aggregate volatility is attained in a noise …

structure determines aggregate volatility. We show that the maximal aggregate volatility is attained in a noise free information … the common component, as in Lucas (1972). The upper bound on aggregate volatility is linearly increasing in the variance …

private information influences aggregate volatility. The maximal aggregate volatility is attained in a noise free information …, as in Lucas. For any given variance of aggregate shocks, the upper bound on aggregate volatility is linearly increasing …

private information in fluences aggregate volatility. The maximal aggregate volatility is attained in a noise free information …, as in Lucas. For any given variance of aggregate shocks, the upper bound on aggregate volatility is linearly increasing …

contrast, price volatility is always less than the variance of the aggregate shock across all information structures …