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Discussion Paper

Dynamic Information Aggregation: Learning from the Past

Published: March 2021
Researchers aim to understand how much agents can learn from past endogenous aggregates such as prices or output in the case of dispersed information.

In a rational-expectations equilibrium, if general equilibrium effects are strong enough, aggregates no longer perfectly reveal underlying fundamentals. In this confounding regime, the effects of informational frictions are persistent over time, and the aggregate outcome displays an initial underreaction followed by a delayed overreaction relative to its perfect information counterpart.

Abstract and Citation

Huo , Zhen, and Marcelo Pedroni. Dynamic Information Aggregation: Learning from the Past. 1 Mar. 2021, https://zhenhuo.weebly.com/uploads/2/6/4/8/26480716/hp_dl.pdf.