Crises and Prices: Information Aggregation, Multiplicity and Volatility
研究危机中信息的作用，通过在信息不完美的协调博弈中引入金融市场，发现资产价格聚合私人信息后，小噪声会导致多重均衡，且更少噪声可能加剧非基本面波动。
Crises are volatile times when endogenous sources of information are closely monitored. We study the role of information in crises by introducing a financial market in a coordination game with imperfect information. The asset price aggregates dispersed private information acting as a public noisy signal. In contrast to the case with exogenous information, our main result is that uniqueness may not obtain as a perturbation from perfect information: multiplicity is ensured with small noise. In addition, we show that: (a) multiplicity may emerge in the financial price itself; (b) less noise may contribute toward nonfundamental volatility even when the equilibrium is unique; and (c) similar results obtain for a model where individuals observe one another's actions, highlighting the importance of endogenous information more generally.