On the Relation between Private Information and Non-Fundamental Volatility

Myungkyu Shim; Doyoung Song

doi:10.1515/bejte-2021-0166

On the Relation between Private Information and Non-Fundamental Volatility

Myungkyu Shim, Doyoung Song

Department of Economics

Research output: Contribution to journal › Article › peer-review

Abstract

It is a well-established property that more precise private information leads to lower non-fundamental volatility in a coordination economy with dispersed information. In this note, we identify conditions under which such an argument holds or does not hold. In particular, we show that the opposite relationship holds when (1) there is a strong positive correlation between private information of different agents and (2) public information is endogenously generated.

Original language	English
Pages (from-to)	809-821
Number of pages	13
Journal	B.E. Journal of Theoretical Economics
Volume	23
Issue number	2
DOIs	https://doi.org/10.1515/bejte-2021-0166
Publication status	Published - 2023 Jun

Bibliographical note

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© 2023 Walter de Gruyter GmbH. All rights reserved.

All Science Journal Classification (ASJC) codes

General Economics,Econometrics and Finance

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10.1515/bejte-2021-0166

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On the Relation between Private Information and Non-Fundamental Volatility

Abstract

Bibliographical note

All Science Journal Classification (ASJC) codes

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