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
Journal	B.E. Journal of Theoretical Economics
DOIs	https://doi.org/10.1515/bejte-2021-0166
Publication status	Accepted/In press - 2022

Bibliographical note

Funding Information:
We thank two anonymous referees for their helpful and insightful suggestions. Shim acknowledges the financial support from Yonsei University and Yongwoon Scholarship Foundation (Yonsei–Yongwoon Research Grant No. 2021-11-0410). Seoyoon Jeong and Seung Yong Yoo provided excellent research assistance.

Publisher Copyright:
© 2022 the author(s).

All Science Journal Classification (ASJC) codes

Economics, Econometrics and Finance(all)

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10.1515/bejte-2021-0166

Cite this

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author = "Myungkyu Shim and Doyoung Song",

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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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