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

二十世纪最后十年和本世纪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S对经济状况和其他投资者将采取的行动存在不确定性。传统的货币危机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。主要预测是，在经济状况不佳的情况下，投资者攻击货币肯定会引发贬值；在经济状况好的国家，投资者会克制自己不攻击货币，贬值永远不会发生；而在中间国家，如果投资者相信别人会攻击，他们就会攻击，如果他们相信别人不会攻击，就会克制自己不攻击。虽然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。最近的研究集中在私人信息在通过研究协调博弈决定结果方面所起的作用，在协调博弈中，投资者只持有关于经济状况的私人和不完整信息。通过限制代理人只持有嘈杂的私人信息(与公共或公共信息相反)，这种方法锁定了独特的预测，从而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理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是攻击一种货币还是进行投资。然而，在这些模型中，代理人所拥有的嘈杂的私人信息是外在地给予他们的，而不是被选择的。本项目概述的研究通过从理论和实验上研究代理只持有私人信息的投机性攻击中昂贵的信息获取，纠正了这一缺点。这是通过允许代理人提高他们关于经济状况的私人信息的准确性来实现的，但需要付出一定的代价。一旦代理人选择了他们信息的精确度，他们就参加了投机性攻击游戏。目前的研究项目预测了独特的结果，这取决于代理人的准确选择，这使得能够提出准确的政策建议。对投机性攻击中代价高昂的信息获取的研究将使该模型更接近现实。参与投机攻击的投资者不断努力改善他们拥有的信息，他们愿意为此付出代价。投资团体和个人付钱给专家，让他们提取更准确的金融系统信息，以最大限度地减少损失，为信息专业知识和财务咨询创造一个市场(财务咨询公司的例子包括Merril Lynch、摩根士丹利、高盛等)。这种信息市场的存在表明，为了更好地理解货币危机背后的机制，有必要在投机攻击模型中包括昂贵的信息获取。事实证明，货币危机对经济非常有害。理论预测表明，攻击的决定取决于每个代理人选择的信息质量。为了充分理解从该理论得出的政策含义，有必要了解代理人在面对这种情况时实际表现如何，这就是为什么本项目建议通过实验测试该理论的预测。人们提出了以下问题：在一个投资者有可能付出代价来提高他们所掌握的有关经济的信息质量的世界里，有可能减少投机性攻击的发生吗？拥有更知情的市场参与者能防止货币危机吗？金融顾问在决定投机性攻击结果方面扮演什么角色？这项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背后的力量。本项目中概述的分析也可以应用于使用类似建模技术研究的其他经济现象，如银行挤兑、债务危机或外国直接投资决策。因此，这一研究项目有助于理解昂贵的信息获取在宏观经济学中出现的带有噪声的私人信息的广泛协调博弈中的作用。

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.