On the Relation between Private Information and Non-Fundamental Volatility

Myungkyu Shim, Doyoung Song

Research output: Contribution to journalArticlepeer-review


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 languageEnglish
Pages (from-to)809-821
Number of pages13
JournalB.E. Journal of Theoretical Economics
Issue number2
Publication statusPublished - 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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