viceversa. These findings are consistent with local investors having an information-processing advantage. …

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 … with linear best responses and normal uncertainty. We show our results by providing a characterization of the set of all …

private information influences aggregate volatility. The maximal aggregate volatility is attained in a noise free information … and normal uncertainty. We establish our results by providing a characterization of the set of all joint distributions … over actions and states that can arise in equilibrium under any information structure. This tractable characterization …

private information in fluences aggregate volatility. The maximal aggregate volatility is attained in a noise free information … and normal uncertainty. We establish our results by providing a characterization of the set of all joint distributions … over actions and states that can arise in equilibrium under any information structure. This tractable characterization …

considered an indicator of either information flow or uncertainty. We show in a stylized model economy that both views suggest … market, volatility reflects information (uncertainty). We introduce a simultaneous time-varying coefficient model, where …