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.

20世纪的最后十年和本世纪之初的特点是货币危机频繁发生。这些高投机环境的特点是投资者？他对经济状况和其他投资者将采取的行动感到不确定。货币危机的传统模型假设所有投资者都持有相同的信息，这导致了糟糕的政策建议，因为他们无法预测结果。主要的预测是，在糟糕的经济状态下，投资者攻击货币，肯定会引发贬值;在良好的经济状态下，投资者会克制攻击，贬值永远不会发生;在中间状态下，如果投资者相信其他人会攻击，就会攻击，如果他们相信其他人不会攻击，就会克制攻击。虽然这些模型似乎可以解释货币危机的发生，但由于结果的自我实现性，它们只能提供有限的政策指导。最近的研究集中在私人信息在决定结果中的作用，通过研究投资者只持有关于经济状况的私人和不完整信息的协调博弈。通过限制代理只持有嘈杂的私人信息（而不是公共或公共信息），这种方法确定了独特的预测，消除了以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事件背后的力量，并提出更准确的政策建议。然而，正是每个投资者掌握的信息决定了他攻击一种货币或进行投资的决定。然而，在这些模型中，代理人所拥有的嘈杂的私人信息是外生性给予他们的，而不是选择。该项目中概述的研究通过理论和实验研究在投机性攻击中昂贵的信息获取来纠正这一缺点，其中代理人仅持有私人信息。这是通过允许代理人以一定的成本提高其关于经济状况的私人信息的准确性来实现的。一旦代理人选择了他们的信息的精确性，他们就参加了投机攻击游戏。本研究项目预测了独特的结果，这些结果取决于代理人的精确选择，从而可以提供准确的政策建议。对投机攻击中代价高昂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进他们所掌握的信息，他们愿意为此付出代价。投资团体和个人为了尽量减少损失而向专家支付费用，以获取有关金融系统的更准确信息，从而创造了信息专业知识和金融咨询的市场（金融咨询公司的例子包括Merril Lynch，Morgan Stanley，Goldman Sachs等）。这样一个信息市场的存在表明，在投机性攻击模型中包含昂贵的信息获取是必要的，以更好地理解货币危机背后的机制，这已被证明是非常有害的经济。理论预测表明，攻击的决定取决于每个代理人选择的信息的质量。为了充分理解该理论的政策含义，有必要了解代理人在面对这种情况时的实际行为，这就是为什么本项目建议通过实验来测试该理论的预测。人们提出了以下问题：在一个投资者有可能为提高他们所掌握的经济信息的质量而付出代价的世界里，是否有可能减少投机性攻击的发生？让市场参与者更加知情，是否可以预防货币危机？金融顾问在决定投机性攻击的结果时扮演什么角色？本研究的目的在于揭示这些问题以及其他政策问题，从而有助于更好地理解经济危机时期背后的力量。本研究项目中的分析也可以应用于银行挤兑、债务危机或外国直接投资决策等其他经济现象，这些经济现象已经用类似的建模技术进行了研究。因此，本研究项目有助于理解在宏观经济学中出现的具有噪声私人信息的广泛协调博弈中昂贵的信息获取的作用。