The Pros and Cons of Higher Transparency: The Case of Speculative Attacks

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The Pros and Cons of Higher Transparency: The Case

of Speculative Attacks

Jean-Pierre Allegret, Camille Cornand

To cite this version:

Jean-Pierre Allegret, Camille Cornand. The Pros and Cons of Higher Transparency: The Case of Speculative Attacks. 2005. �halshs-00180086�

GATE

Groupe d’Analyse et de Théorie

Économique

UMR 5824 du CNRS

DOCUMENTS DE TRAVAIL - WORKING PAPERS

W.P. 05-02

The Pros and Cons of Higher Transparency: The Case of

Speculative Attacks

Jean-Pierre Allegret

Camille Cornand

Mars 2005

GATE Groupe d’Analyse et de Théorie Économique

UMR 5824 du CNRS

93 chemin des Mouilles – 69130 Écully – France B.P. 167 – 69131 Écully Cedex

Tél. +33 (0)4 72 86 60 60 – Fax +33 (0)4 72 86 60 90 Messagerie électronique gate@gate.cnrs.fr

! " # $%& '()* +& $ , - . - ) /0 % 1/ 02 # 3 4 5 00 627 * 8) (1 12 12 3 4 9 00 627 * 8) (1 12 /25 : 5 5 : 5 5 ; 9 5 < = 9 ; ; 5 ; = = = ; 5 ; = ; ; = = = 5 ; 5 > ; = ; 5 #- 80 ?() 40 5 ! @ )22* < 4 4 5 @ ; 5 ; = 5

)

<

//2A = = = 5 ; 5 < A = ; 5 < ; 5 ; ; B ; 9 C 5 5 < = 5 < = = = ; ; 5 < = 9 ; ; = = 5 < 9 ; = 5 ? ; D ; D ; ; ; ; ; ; 5 < ; B = 5 B B = = = 5 < 9 5 A = ; 5 = ) 5 " = ; = ; 5 # ; = = 0E E = = = E = ; = 5

< = = ; = Fdepends not only

0 that is, players’ beliefs about other players’ beliefs, players’ beliefs about other players’ beliefs about other players’ beliefs, and so onG 6% )220 5'175

< = ;

5 4 =

; = 5 <

= ;

5 FVirtually, any event which is publicly observable and affects economic fundamentals HIJ could be classified under that labelG 6 = )22) 5875

Frefers to pieces of knowledge that may be different from one trader to the nextG 6K )22* 5)75

$ = ; = = 6 7 6 7 6; ; = 9 75 5 = 5 L = ; C ; B versus B = ; = versus = 5 L 9 B B = ; 5 ; ; = 5 # 6 )22275 5 M 9 = 5 5 @ ; = = B = ; = 5 4 9 ; ; = = ; ; B ; = = ; = ; D ? A = = = =N = D @ = ; = = 6 7 D = = = ; 9 5 ; 5 E ) ; 5 0

* ; = 5 = ; 5 ; = B = 5 = = ; = C 5 < = = = 5 < 5 @ = = = 5 4 ; = 6)22)7 ; 5 4 ; 9 5 ; = 9 6= 7 6 7 5 = ; = ; ; ; 9 6 = 7 = 6 7 6 = 75 = 6 7 = = 6 7 9 6 7 = ; 5 ! < L= 6 /(1 //17 ; = ; 5 < 5 6 7 = B = 5 + = ; 5 ; ; ; = 9 ; ; = 9 = = = ; = 5 @ D

1.1.1. Fundamental uncertainty and strategic certainty

= O 6)22 7 ;

= 5 < 5

= 5

' C = θ; = = 5 θP +6yτ)7 6 7 9 = θ = = = ; y τ)5 B = y = η ; y Q θRη , ; η∼+ 62 τ)7 6)7 < ; = y ; 5 #

( )

θ

y = y ; ; = = 6i.e. 75 @ = = = 5 4 ; = ; 9 = E ; = 9 6= 7 6 7 5 = =

ex post 9 5 < Fproviding public information seems to be more convenient when fundamentals are “rather bad” than when fundamentals are “rather good”G 6 = O )22 5)2'75 @

5 < 9 = = 5 < ; ; F G B 5 = A = = = 5 = = = = = ; B = 5 @ = 5 B 5 < 9 F G 5 = 5

1 1.1.2. Introducing biased information

? 6)22)7 = 5 @ = = = = = 5 < = ; = ; ; = = 5 ! % 6 //(7 = 5 θ = = 6 ) θP $ 607 = ; XiQθRεi εiP + 62 σ ) 7 6*7 < 9 ; ; = = 5 = = = = = ; = B = 6 < )22)75 = ; ; 5 ; 5 = 5 = 9 5 B 5 @ B B = ; ; = = 5 L ; 5 < ; ; posterior 9 ; prior 9 ; = ; 5 = = 5 ; = ; 5 < 6)22)7 ; ; = ; = ; 5 ; ; = = ; ;

8 = 5 = 5 = = 5 = ; 5 < 9 = = = ; 9 = = B B = 5 " ! = = = 9 = % 6)22*75 θP +6yτ)7 6'7 ; y ; 5 = Xi XiQθRεi εiP + 62 σ ) 7 617

(

)

) ) ) ) # i i X y X y

τ

σ

θ

τ

σ

+ = + = 5 4 θP+ 6Y τ)7 = Y X QθRεi ;

ε

_i ≈N62

σ

)7 Posterior = ) ) ) ) i X y

τ

σ

τ

σ

+ + = 3 ; = 5 % 6)22*7 = A = = 5 = 9 5

( 1.3.1. Extensions and applications

% C 6)22)7 K 6)22'7 = 6)22)7 = % 6)22*7 5 ; 5 % C 6)22)7 ; ; = = 9 = ; ; = prior = = prior 5 < = = = = 5 L = ; = = 5 K 6)22'7 = ; = = = 5 < = = C 5 < ex post = 5 5 = = 5 = Fposterior G C 5 = 5 %

F G Fthe accepted variability of the fundamental state around the a

priori expected valueG 6K )22' 5*75 % =

9 = = = 5 @ ; prior = = 6 prior = 7 ; 9 5 L ; i.e. prior 9 5 L ; 9 = B ; ; = 5 = = = 5 L ; 9 5 9 ; 5 < = 5 9 ; ; = ; = 9 E ;

/ = = 5 = = ; ; 5 < ; = ; ; 6 = = 75 prior 9 6 9 7 E 5 < = = posterior 5 < ; = ; = = 5

= 6)22)7 Fthe effects of the precision of public and private information on the share of speculators attacking the currencyG 6 5*75

= ; 5 L = 5 L = ; = 9 5 @ 9 = = 9 ; = = 5 = 5 Fdegree of aggressivenessG 6 = )22) 517 = ; 9 = ; = 5 9 ; 9 5 < ; = 9 = E ; 9 = 5 < ; ; 9 6 = 7 = 6i.e. 7 6 6i.e. ; 77 6i.e. = 75 < = ; 6 7 = 9 ; = = 5

1.3.2. A beauty contest version

% 6)22)7 ;= =

2 = 9 = ; = 5 = ;= = B = B 5 = = ; 5 ; = ; ; = A 5 < ; ; 5 @ ; = = = ; A 5

Swhen the private sector agents are already very well informed, the official sector would be well advised not to make public any more information, unless they could be confident that they can provide public information of very great precisionS 6% )22) 5 ')/75

F G = ; 5 ; *5 6)22*7 % 6)22)75 ; = ; ; 5 = 5 @ % ; = ; ; = ; = 5 ; = = ; = = 5 # $ ! = ) = 5 ; 5 < 9 = = = 5 @ ; =N = 5 ; a priori = = 5 = 5 & = ; = 5

Informational structure

Basic model, Definition and Equilibrium

Consequences in terms of economic policy

= 6 <7 L= 6 //17 ; % B = 5 ? = = = = < 4 < 5 % B = 5 6 <7 % T 6 //(7 $ B B = 6 = ; 75 T < 6)22)7 = = 5 = 6 7 % T 6)22*7 = #B = B 6 = ; 75 % T 6)22)7 #B = B = 5 % T 6)22*7 = = 5 % C 6)22)7 K = R = = 5 " 5 K T 6)22'7 # prior = = = 9 ; 9 E 5 = T O 6)22 7 K = B = 5 " = 5 % T 6)22)7 @ 5 = = ; R + @ R @ 5 = ) 3 5 @ 5 L 5 L = ; ; 5 + ; = 5 < = = 5 <

) = 9 5 < ; = A 5 = = ; = ; 5 = ; 5 < ; = =

; 5 < Fa double edge instrumentG 6% )22) 5 '0)75 ;

= 5

%

%

!

# = ; = 9 = 9 5 9 ; 5 @ ; N B = 5 4 5 9 5 9 F G = = ; = = = = 5 ; = F G5 = ; ; 5 % < = = ; 5 % ; = ; 9 5 4 B = ; = //8 % //( > 6 ///7' ; ; = 9 = ; = = = E = 6)22)715 ; = =

0 5 = ; 5 = = 5 = ; i.e. ; = = 5 4 = 5 B 5 = = = = 6)22)7 = K 6)22075 5 K = % A ; 5 K = 5 4 ; # 5 6 9 = E % 9 K 7 5 ; ; 5 2.1.1. Methodology < = A 6)22)7 A 9 = = 5 = C ;

(

)

2 ) 0 e e e t t t t t t ERP = +

γ γ

f₋ +

γ σ

₋ f₋ − +

γ

γ

e₋ +

ε

687 ; ERP 9 8 fe σe

γ

F G F= G 9 e 9 5 γ = 9 9 5 σ e 9 5 γ) 9 ; = ; σe 9 = = 9 F G 6i.e. ₋e >

γ

t f 7E σ e 9 = = = 5

* < σe 6= 7 9 = 6 7 γ) 5 9 9 9 fe σe 5 = γ0 ; 9 = (5 687 "? ; = = = = ; "? ; 5 = K 6)22*=7 % 9 //* /' ; 9 = "? ; = = / i.e. = 5 B ;

( )

te t t e t e t t f f g u ERP=

γ

2+

γ

+

γ

)

σ

−

γ

+

γ

0 + 6(7 ; ERP 9 f e = σe =

γ

F G F= G 9 g = 9 u 5 γ 9 = ; 9 5 % C 6)22)7 γ)5 < ; = ; ; = 9 ;

( )

e−

γ

>2 t f = ;

( )

e−

γ

<2 t f 9 = E ; 9 9 = = = 5 γ) ; = ; = = 5 γ0 = 5 < = ; = K 6)22*=7 = ; % 9 "? ; ; 5

' "? = = 5 2.1.2. Main results = 6)22)7 > < > //' % )22 5 ; 5 4 9 ; 9 "? ; 5 "? ; 9 ; 9 ; 5 4 F G F= G 9 ; ; = "? ; = 9 5 K A % //0 ? = )2225 ; 5 % 9 "? 9 5 K i.e. 9 5 K ; = 9 5 @ 9 5 < ; = "? ; 6 "? ; = = 7E 6 = = 75 & ; "? ; 9 = C 9 25 B Fthe type of

information driving the results should, for the main part, be publicG 6K )22*= 5 /75

1 mean of speculator’s

expectations about the fundamentals (market sentiment) precision of public information precision of private information = 6)22)7 ERP ERP K 6)22*=7 ERP ERP $ ; 6 7 ERP $ 6 7 = 0 3 # #9 & 6ERP7 5 L ;= = A 9 "? ; 5 B = 5 = K 6)22*=7 ; = ; = 5 ; ; = = 5 < % 9 "? ; = 9 = C 9 5 K = C = C 6 versus 7 = ; ; ; 5 ; ; ; = 9 9 5 K ; = 5 4 = 5 < ; 5 + 9 ; 5 = ; 9 6 9 K U 6 //87 K K N 6)22 775 %& @ 9 = ; = F ; G5 @ = + 6)2207 9 = ; + L 6)22*7 6

8 +L7 6)22*75 ; = 5 @ +L ; 6 <7 6 <7 6 7 ; 6 7 )5 = 9 B ; = = 5 2.2.1. Methodology < = 9 ' =N 6 )' +L )2 7 6 12 7 = ; ; 6 K705 T ; = E 5 ; ; = ; TQ)2 TQ'2 E 5 K = Y = =N K 9 a6Y7Q '6(2 Y7VW 2 ; 6 ; = 9 = 9 = 7*5 K = K 6 = = 7 2 ; 5 4 Y = H 2 /2J5 ; ; ' < 6 +L7 ; Y ; 5 < 6 +L7 5 Xi ; = HY 2 YR 2J E ; =N 5 =N ; ; 5 < = 6 7 =N Xi ; = HY 2 YR 2J =N Z HY 2 YR 2JE Xi = ; ; Z ; E ; ; 5 < ; = 6 7 ; Z Z) ; ; ; E ;

( ; = HY 2 YR 2J ; ; 5 2.2.2. Main results = 9 ; = = +L = 5 N = ; = 5 < ; A = = 9 5 L ; =N ; = = = 5 = = = 5 < ; ; ; = = = 5 )5)5)5 5 = = ex ante = = ; =N K5 ; prior = = 5 +L ; prior = = < <5 < ; =N = = = ; 5 @ = +L ; = = = = 5 L = = = 5 @ ; = = 5 ; ; = =N A 5 )5)5)5)5 = ; = = 5 @ = = +L = ; ; = 5 = 9 = < +L5 = = = = 5 ; 6i.e. 7 = 5 = = = = 5

/ )5)5)505 4 = = ; ; = ; ; K 6 7 ; ; ; K ; ; 5 @ +L = ; < ; = ; <5 = ; 5 = = = ; = ; = 5 B = = 6 7 5 9 6 = 7 = 5 ; ; 5 + = +L ; 5

Studies Probability of an attack Predictability of an attack Coordination < & = = ; = +L 6)22*7 < ; ; = = 0 ) 6 7 ; = = 0 " = < 6)22*7 & ; = = K 6 ; = 7 K ; < = = = * 3 9 6 = ; = ; = ; 75 < 9 = 1 ; = = ; 9 B = = ; 5

)2

"

%

< ; ; = ; 5 ; = = 5 < ; = = i.e. = 5 " K = = ; 5 K 6 9 7 ; 5 4 +L 6)22*7 = = = ; B 5 < = = 5 K 6)22*=7 ; = = 6 = 7 6 V 75 = = ; = 5 4 9 6)22*7 = = ; = = 5 M 9 ; = ' = ;5 4 5 < V = 5 + 9 = 5 = = = 6 7 vs. = = = 9 = 9 ; = ; = = 9 ; = 5 ; = = 6 ; ; = ; F G 75 = ; 5 < = = C D & = = = = +L ; = ; = = ; = = 5 & = 9 ; = ; = 5 %

) ; +L 9 A = = 5 = ; = ; = = 6 )22)75 = ; = ; = 6i.e. ; = 7 = B = 85

Theoretical predictions Empirical evidence

L =

? =

The public signal is a focal point but can provoke an overreaction of agents. + = = = 5 $+ -# & 5 < = = = = 5 < = = 5 = = 5 L =

The presence of private information leads to higher order beliefs, which prevent from overreaction of agents to any signal.

< ; = = 5 L = = = 5 < = = 5 L = = =

The public signal serves as a focal point while at the same time the presence of private information avoids agents’ overreaction.

< V = = = = = = = = 5 5 = ' 3 vs. 5 F G = F G = 6)22)7 = K 6)22*=7 9 5

)) = 5 = = 5 < ; = = ; 5 < = ; 5 ; = = = = = 5 < = 9 5 < ; ; ; 9 ; = = 5 L ; = ; = 5 " ' ( ) * ! ) @ = ; = = 5 < = 5 & 5 4 ; = 5 = = 5

3.2.1. Introducing endogenous information

< % 6)2227 6)22 7 ; = = 5 C ; 5 < @ 6)22*7 ; 9 B = = in fine 5 5 < ; 6 7 E 6 7 = ; 5 B = A

)0 precision of the endogenous public information is increasing in the precision of the exogenous private informationG 6 5*75 4

θ

X ; σx 9 σε = Z ; σz ; = σx σε = 1 3 ; = @ 6)22*75 = ; 6)2207

Fthe ability of a policy maker to influence market expectations and control equilibrium outcomes in environments where market participants play a coordination game with information

heterogeneityG 6 5)75 = = 5 < = ; ; 6 7 ; E 6 7 ; ; ; 9 5 5 % B = 5 ;

Fis not about the possibility of multiple continuation equilibria in the coordination game that follows a given realization of the public signal; it is rather about how endogenous coordination in the market makes the effectiveness of the policy depend on arbitrary market sentiments and leads to multiple equilibria in the signalling gameG 6 5 (75 K

B = B = =

; ; 5 ;

Fthe “anxiety region” vanishes as the information in the market becomes preciseG 6 5*75

@ D <

9 ; B = B

vs. = 9 5 #

)* = via 5 = 6 B 7 = 6 B = 75 6 = 7 B 5 # ; 9 D 9 9 9 ; ; ( 5 4 9 9 ; N = 5 % = 9 ; = 5 < 9 #&% 9 = 5 @ 6)22*7 9 )22 )22) N 5 L = = )22) = ; = = 5 < 9 5 B 9 ; 5 % ; E = & 6 /8/7 ; ; = 9 B = 5 B ; B = = ; ; = = ; 9 5 ; = ; = 5

3.2.2. Redefining the notion of public information

= ; = ; = 6)22* )22'7 ; = p 5 6)22'7 9 9 6media ; 7 ; = 5 < = 5 # = 5 A posterior = = 5 % =N ; 6 =N 7 = = = = = ;

)' ; 5 K = ; = = B = 5 ; 9 ; ; = ; = = 5 4 θP+ 6Y τ)7 = Y Y) I5

Y

k

=

θ

+

ε

k 62 )7 k k N

τ

ε

≈ i

∑

=

k k i k i

q

Y

X

= 8 3 ; ; = ; ; 6 )22'75 ; = = 5 = = 5 < K posterior = ; ; ; = 6 7 5 ; = ; ; 5 ; B B = ; 5 @ = = posterior = = ; 5 ; ; ; B B = ; 5 < ; = = ; = 6i.e. vs. 7 = = ; = ; 5 6)22*7 p = = B = = /5 9 = 5 $ = ; 6 ; 7 E ; 5 ; = = = = = )25 < ; = p = ; 5 = 9 = = =

)1 ; ; ; ; 5 ; ; ; 5 4

θ

_{P+ 6}

_y

τ

)₇ " 6 P7 " ) P X QθRεi ;

ε

_i ≈N62

σ

)7 X QθRεi ;

ε

_i ≈N62

σ

)7 = ∅ y = ( 3 ; ; p = 6 )22*75 < = ; 5 9 = = = B % A 6)22)7 5 = ; A 6 7 = 5 = ; 5 K = B = ; = = ; = 5 ; 5 % = = ; 5 < ; ; 9 ex post = ; 9 = 5 6 = = 75 + ; ; 9 = 9 = B = ; = 5

)8 9 5 ; = ; ; ; ; = 5 5 @ ; 5 < = = ; 5 L = 9 = = 5 ; = 5 < = ; ; ; ; = 5 = = 5 = E ; 6 7 = B = = ; = 5 < ; = 6 = 7 = = ; = = 5 ; =N ; ; = = ; = 5 + ; = A 5

)( +

4 L= A = % 6 //(75 4

; % @ 6)22)75

)

% 6)2207 = Fgames of incomplete information whose type space is determined by the players each observing a noisy signal of the underlying stateG 6 5'175

= = 5 4 ; % 6)22075 0 = ; 5 4 C = A 9 = 5 * ; % 6)22)7 6)22'7 ; 5 % ; ; B = ; = 5 '

N Fthe twenty largest one day changes (downturns or upturns) in each country’s stock market pricesG 6> /// 5'*275

> < > % ; 5 1 4 4 < - //) 5 5 ? = ; 5 5 ? = ; ; = 5 8 9 5 ( e ; 9 5 / ; = 9 % 9 5 2 ERP5 @ 5 ) = = 9 +L ; = ; ; 5 ; 6 = 7 5 0 + =N Y ; ; 5 * < * +L WQ 22 ; WQ12E WQ125 ' ; =N 5 9 = ; F G F G =N ; = ; ; K5 1 ; 6)22)=7 = A 9 ; 5 @ ; = A 6 = 9 = 7 = = = ; 5 = 9 = 5 @ = 9 +L = 5 < =N = ; = 6 = 75 B =N ; 5 8 = 9 = + 6 //'7 >W= @ C X 6)2207 ; ; =N = 9 = ; = =

)/ 6 ; 75 = = =N ; 5 ( $ A 9 # @ C 6 //07 ; #&% 9 //) /0 ; 9 = 5 < % 9 6 //*7 = 6 //87 " N Y 6 //(7 9 9 = C 9 C 5 % K 6 ///7 ; 5 / p = = ; = = p = ; = = p = ; = = p 5 % 6 /(/75 )2 = ; = = 5

02 !

K K N = N 6)22 7

; 5 European Economic Review *' 8 ) '25

" % ; 6)2207

5 NBER Working Paper Series /818 5

" % 6)22*7 <

# ; < 5 American Economic Review /* 6

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6 57 Contemporary Issues in International Finance + = + ; M 5

K #5 6)22*=7 & < ? % 9 //*V/'

# # 5 % 5

K #5 4 6)22'7 L & <

- B 5 Journal of Institutional and Theoretical Economics 5

K U K L 6 //87 = 4 9 #9 & ; &

+ < & 5 European Economic Review * ( *1 *8(5

K ; 6 ///7 = D 5 IMF Staff Papers *1

) 28 0(5 = + & & 6)2207 #B = < < " #9 5 ? 12 $ 4 = K 5 K ? 6)22)7 ; K % A % & 5 % 5 6)22*7 < #9 5

Working Paper GATE )22* 285

4 6)22*7 L ? = < ? 5

CESifo Working Paper 0'0 ? = 5

4 6)22'7 % =

< 5 % '5

# K @ C 6 //07 $ = #% 5 Brookings Papers on Economic

Activity ' *05

" 5 5 6)2207 4 = 5 Financial Stability Review

' / /(5

" 6)22)7 = 5 Economic Journal ) '0) ''15

" N < Y , & L5 6 //(7 = D European Economic

Review *) 0 ' (80 (('5

4 6)22)7 #9 & " #9

0

4 < " 6)22)7 $ B #B =

5 Journal of International Economics '( *)/ *'25

4 + & L 6)22*7 " = "

#9 " ; = < 5

Econometrica 8) ' '(0 '//5

; 6)22) 7 = < < % #B =

" 5 Journal of Economic Theory 28 / )))5

; 6)22)=7 < > ; " =

" 5 % $ - L = 5

; % N 6)22*7 4 < & 5

% ? = 5 VV;;;5 5 5 V V V ; V ; 00(5

L 6)2227 & ? 5 Special

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$ + ; % 5

> " 5-5 6 ///7 @ % D

5 Journal of International Money and Finance ( '08 '125

>W= ? @ C X " 6)2207 - ? & 4

4 - = 5 Review of Economic Studies 8 *)' **

% C #5 6)22)7 = < 4 5 Journal of

Economics 81 1' ('5

% ? ? 6 /(/7 9 > ; ; K 5

Games and Economic Behavior 82 /25

% 6)22)7 > ; &

# % " D Oxford Review of Economic ( * *00 **'5

% 5 6 //(7 $ B #B = %

5 American Economic Review (( 0 '(8 '/85

% 5 6)22)7 Y = < 5 American Economic

Review /) ' ? = ')) '0*5

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? ; - 5 6 7 Advances in Economics and

Econometrics: Theory and Applications Y L 6 5'1 *7 = $

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% 5 6)22*7 & ? = 5 European Economic

Review *( 00 '05

% ? 5 @ 6)22)7 " 5

Oxford Review of Economic ( * 0/8 * 85

+ & 6 //'7 $ " " #9 5 American

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L= % 6 /(17 & = 5 American Economic

Review 81 8) ( 5

L= % 6 //17 % ; 4 5 European Economic

Review *2 208 2*85

= % 6)22)7 $ = 4 5 IMF

0)

& & 6 /8/7 & #9 #B = " #9 <

& = 5 Econometrica *8 1'' 18(5 = % O 6)22 7 #9 < " % 5 Economic Modelling ( ) )20 )))5 - #5L5 6)22'7 Y = < % 6)22)7 < + 5 $ # & +K#&5 4 ? 5 VV;;;5 5 VP V V% \)2 \)2'2 5

+ 5 6)2207 < & < & 5 BIS Working

Papers ] 0' = 5 VV;;;5= 5 V = V; 0'5

6)22)7 < ? = = #

# 5 % 5

@ K 6)22)7 @ > D L + %