Doctoral Dissertation Research: Costly Information Acquisition in a Speculative Attack Model: Theory and Experiments

博士论文研究：投机攻击模型中昂贵的信息获取：理论与实验

• 批准号: 1059626
• 负责人: Andrew Schotter
• 金额: $ 1.1万
• 依托单位: New York University
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 2011
• 资助国家: 美国
• 起止时间: 2011-08-15 至 2013-07-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=1059626&HistoricalAwards=false
• 关键词: Doctoral; Dissertation; Research; Costly; Information

The last decade of the twentieth century and the beginning of this century were characterized by frequent episodes of currency crises. These environments of high speculation are characterized by investor?s uncertainty about the state of the economy and about the actions that other investors will take. Traditional models of currency crises assumed that all investors held the same information, which led to poor policy recommendations because they could not predict outcomes. The main predictions were that in bad states of the economy investors attack the currency and provoke a devaluation for sure, in good states investors restrain from attacking and devaluation never takes place, and in intermediate states there are multiple outcomes where investors attack if they believe that others will attack, and restrain from attacking if they believe that others will not attack. While these models seemed to explain the occurrence of currency crises, they could only offer a limited amount of policy guidance due to the self fulfilling nature of the outcomes.Recent research has focused on the role that private information plays in determining outcomes through the study of coordination games where investors only hold private and incomplete information about the state of the economy. By restraining agents to hold only noisy private information (as opposed to public or common information), this methodology pins down unique predictions that remove the self fulfilling nature of the previous models. This has allowed economists to have a better understanding of the forces behind episodes of high speculation and to make more accurate policy recommendations. Nevertheless, it is the information that each investor holds that determines his decision to attack a currency or to make an investment. In these models, however, the noisy private information possessed by agents is given to them exogenously, rather than chosen. The research outlined in this project rectifies this shortcoming by theoretically and experimentally studying costly information acquisition in a speculative attack where agents only hold private information. This is done by allowing agents to improve the accuracy of their private information about the state of the economy, at a cost. Once agents have chosen the precision of their information, they take part in the speculative attack game. The present research project predicts unique outcomes that depend on the precision choices of agents, which allows for accurate policy recommendations. The study of costly information acquisition in a speculative attack will bring the model closer to reality. Investors involved in speculative attacks continuously make efforts to improve the information they possess, and they are willing to pay for it. Investment groups and individuals pay experts to extract more accurate information about the financial system in order to minimize losses, creating a market for information expertise and financial advising (examples of financial advising corporations include Merril Lynch, Morgan Stanley, Goldman Sachs, etc.). The existence of such a market for information suggests that the inclusion of costly information acquisition in a model of speculative attacks is necessary to better understand the mechanism behind currency crises, which have proven to be very detrimental to the economy.The theoretical predictions suggest that the decision to attack depends on the quality of information chosen by each of the agents. To fully understand the policy implications that derive from the theory it is necessary to understand how agents actually behave when facing this situation, which is why this project proposes to test the predictions of the theory experimentally. The following questions are asked: In a world in which investors have the possibility to pay a cost to improve the quality of the information they possess about the economy, is it possible to reduce the incidence of speculative attacks? Can currency crises be prevented by having better informed market participants? What role do financial advisors play in determining speculative attack outcomes? The proposed study intends to shed light on these and other policy issues, which will contribute to a better understanding of the forces behind periods of economic crisis.The analysis outlined in this project can also be applied to other economic phenomena that have been studied with similar modeling techniques, such as bank runs, debt crises, or Foreign Direct Investment decisions. Hence, this research project contributes to the understanding of the role of costly information acquisition in a wide range of coordination games with noisy private information that arise in macroeconomics.

二十世纪和本世纪初的最后十年的特点是经常发生货币危机。这些高猜测的环境的特征是投资者对经济状况以及其他投资者将采取的行动的不确定性。传统的货币危机模式假设所有投资者都持有相同的信息，这导致了不良的政策建议，因为他们无法预测结果。主要的预测是，在经济不良状态下，投资者可以肯定地攻击货币，并肯定会贬值，在好州，投资者限制了攻击和贬值，而在中级州，有多种结果，如果投资者相信其他人会攻击，并且如果其他人相信其他人会攻击，则有多个结果，如果他们不相信其他人会攻击。尽管这些模型似乎解释了货币危机的发生，但由于结果的自我实现性质，它们只能提供有限的政策指导。重新研究集中在私人信息通过研究协调游戏中确定结果的作用，在该研究中，投资者只拥有有关经济状况的私人和不完整的信息。通过限制代理仅保存嘈杂的私人信息（与公共或共同信息相反），该方法限制了独特的预测，以消除先前模型的自我实现性质。这使经济学家能够更好地了解高投机性发作背后的力量，并提出更准确的政策建议。然而，每个投资者拥有的信息决定了他攻击货币或进行投资的决定。但是，在这些模型中，代理商所拥有的嘈杂的私人信息是外源的，而不是选择的。该项目中概述的研究纠正了理论上和实验研究的这一缺点，在投机攻击中，代理只有私人信息，在投机性攻击中获取了昂贵的信息。这是通过允许代理商以一定代价提高有关经济状况的私人信息的准确性来完成的。一旦代理商选择了信息的精度，他们就会参加投机攻击游戏。本研究项目预测了取决于代理的精确选择的独特结果，这允许准确的政策建议。投机攻击中对昂贵的信息获取的研究将使模型更接近现实。参与投机攻击的投资者不断努力改善自己拥有的信息，并愿意为此付出代价。投资集团和个人支付专家，以提取有关金融体系的更准确的信息，以最大程度地减少损失，为信息专业知识和财务建议创造市场（金融咨询公司的示例包括Merril Lynch，Morgan Stanley，Goldman Sachs等）。这样一个信息市场的存在表明，在投机攻击模型中包含昂贵的信息获取是为了更好地理解货币危机背后的机制，事实证明，这些机制对经济非常有害。理论预测表明，攻击的决定取决于每个代理商选择的信息质量。为了充分理解从理论中获得的政策含义，有必要了解代理在面对这种情况时的实际行为，这就是为什么该项目建议通过实验测试理论的预测。提出以下问题：在这个世界中，投资者有可能支付成本来提高他们对经济的信息的质量，是否有可能减少投机攻击的发生率？能够通过更好的知情市场参与者来防止货币危机吗？财务顾问在确定投机性攻击成果中扮演什么角色？拟议的研究旨在阐明这些和其他政策问题，这将有助于更好地理解经济危机时期的力量。该项目中概述的分析也可以应用于其他经济现象，这些现象已通过类似的建模技术（例如银行运营，债务危机或外国直接投资决策）进行了研究。因此，该研究项目有助于理解昂贵的信息获取在各种协调游戏中的作用，并在宏观经济学中出现嘈杂的私人信息。