An equilibrium analysis of information aggregation and fluctuations in markets with discrete decisions

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• 作者：Beaudry ; Paul ; Gonzá ; lez ; Francisco M.
• 关键词：D82 ; E32 ; G1 ; Investment fluctuations ; Information aggregation ; Equilibrium randomness
• 刊名：Journal of Economic Theory
• 出版年：2003
• 出版时间：November, 2003
• 年：2003
• 卷：113
• 期：1
• 页码：76-103
• 全文大小：295 K

文摘

This paper shows how the interaction between decentralized information gathering and discreteness of investment decisions at the individual level can generate random fluctuations in aggregate investment that involve occasionally large allocation errors. This interaction is illustrated in a model in which private information is costly to acquire and prices reveal information. The unique rational expectations equilibrium outcome of the model is shown to always be noisy and characterized by investment levels which may be high simply because uninformed investors are buying under the impression that the high price is a signal of good investment opportunities.