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Information, Interdependence, and Interaction : Where Does the Volatility Come from?
Bergemann, Dirk - 2013
We analyze a class of games with interdependent values and linear best responses. The payoff uncertainty is described by a multivariate normal distribution that includes the pure common and pure private value environment as special cases. We characterize the set of joint distributions over...
Persistent link: https://www.econbiz.de/10013072255
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Information and Volatility
Bergemann, Dirk - 2014
In an economy of interacting agents with both idiosyncratic and aggregate shocks, we examine how the information structure determines aggregate volatility. We show that the maximal aggregate volatility is attained in a noise free information structure in which the agents confound idiosyncratic...
Persistent link: https://www.econbiz.de/10013052631
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Information and Volatility
Bergemann, Dirk - 2014
In an economy of interacting agents with both idiosyncratic and aggregate shocks, we examine how the structure of private information influences aggregate volatility. The maximal aggregate volatility is attained in a noise free information structure in which the agents confound idiosyncratic and...
Persistent link: https://www.econbiz.de/10013045592
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Information and Volatility
Bergemann, Dirk - 2014
In an economy of interacting agents with both idiosyncratic and aggregate shocks, we examine how the structure of private information in fluences aggregate volatility. The maximal aggregate volatility is attained in a noise free information structure in which the agents confound idiosyncratic...
Persistent link: https://www.econbiz.de/10013061893
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Information, Market Power and Price Volatility
Bergemann, Dirk - 2019
We consider demand function competition with a finite number of agents and private information. We show that any degree of market power can arise in the unique equilibrium under an information structure that is arbitrarily close to complete information. In particular, regardless of the number...
Persistent link: https://www.econbiz.de/10012862865
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Fragile beliefs and the price of uncertainty
Hansen, Lars Peter; Sargent, Thomas J. - In: Quantitative economics : QE ; journal of the … 1 (2010) 1, pp. 129-162
A representative consumer uses Bayes' law to learn about parameters of several models and to construct probabilities with which to perform ongoing model averaging. The arrival of signals induces the consumer to alter his posterior distribution over models and parameters. The consumer's...
Persistent link: https://www.econbiz.de/10011719071
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Genetic learning as an explanation of stylized facts of foreign exchange markets
Lux, Thomas; Schornstein, Sascha - 2002
equilibrium dynamics resulting from this learning process helps to explain the main stylized facts of free-floating exchange rates … the number of agents (not more than about 1000). With a larger population, this collective learning dynamics looses its … Hauptinteresse geht dahin, herauszufinden, ob die Gleichgewichtsdynamik, die aus diesem Lernprozess resultiert, dabei helfen kann …
Persistent link: https://www.econbiz.de/10010295111
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Genetic learning as an explanation of stylized facts of foreign exchange markets
Lux, Thomas; Schornstein, Sascha - 2003
equilibrium dynamics resulting from this learning process helps to explain the main stylized facts of free-floating exchange rates …) and the number of agents (not more than about 1000). With a larger population, this collective learning dynamics looses …
Persistent link: https://www.econbiz.de/10010295196
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Genetic learning as an explanation of stylized facts of foreign exchange markets
Lux, Thomas; Schornstein, Sascha - 2002
equilibrium dynamics resulting from this learning process helps to explain the main stylized facts of free-floating exchange rates … the number of agents (not more than about 1000). With a larger population, this collective learning dynamics looses its … Hauptinteresse geht dahin, herauszufinden, ob die Gleichgewichtsdynamik, die aus diesem Lernprozess resultiert, dabei helfen kann …
Persistent link: https://www.econbiz.de/10011431839
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Why does return predictability concentrate in bad times?
Cujean, Julien; Hasler, Michael - 2017
We build an equilibrium model to explain why stock return predictability concentrates in bad times. The key feature is that investors use different forecasting models, and hence assess uncertainty differently. As economic conditions deteriorate, uncertainty rises and investors' opinions...
Persistent link: https://www.econbiz.de/10011721618