Three essays on information in financial markets and the macroeconomy
This dissertation consists of three chapters investigating the role of information and beliefs in financial markets and the macroeconomy. In the first chapter, I develop a macroeconomic model in which financial markets aggregate dispersed information and determine the efficiency of capital allocatio...
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| Tipo de documento: | tese |
| Estado: | Versão publicada |
| Data de publicação: | 2021 |
| País: | España |
| Recursos: | CBUC, CESCA |
| Repositório: | TDR. Tesis Doctorales en Red |
| OAI Identifier: | oai:www.tdx.cat:10803/672738 |
| Acesso em linha: | http://hdl.handle.net/10803/672738 |
| Access Level: | Acceso aberto |
| Palavra-chave: | Financial markets Mercats financers Macroeconomy Macroeconomia 33 |
| Resumo: | This dissertation consists of three chapters investigating the role of information and beliefs in financial markets and the macroeconomy. In the first chapter, I develop a macroeconomic model in which financial markets aggregate dispersed information and determine the efficiency of capital allocation. I find that fundamental (productivity) booms lower capital misallocation by encouraging information acquisition. In contrast, non-fundamental (sentiment) booms increase capital misallocation by discouraging information acquisition. In the second chapter, I introduce a tractable model of a noisy financial market in which information acquisition is motivated by overconfidence in the form of correlation neglect. I study several applications. Finally, in the third chapter, Janko Heineken and I study the role of sentiment and disagreement in determining the asset characteristics of Bitcoin. We show that disagreement predicts negative returns far into the future, with vanishing effects towards the end of the sample. |
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