Aggregate Information Dynamics

Kyriakos Chousakos, Gary Gorton and Guillermo Ordonez
Additional contact information
Kyriakos Chousakos: Yale University
Gary Gorton: Yale University

No 167, 2018 Meeting Papers from Society for Economic Dynamics

Abstract: The amount of information produced in an economy varies over time depending on the state of the macro economy. We define movements in aggregate economic activity very agnostically and introduce new ways to characterize aggregate economic activity based on information in stock prices. We empirically investigate changes in economy-wide measures of information and changes in aggregate economic fragility as aggregate economic activity changes based on the level of real GDP. We find that our stock price-based measures of information are significant in predicting recessions with and without a financial crisis. We then show evidence of a feedback effect to investment from the information produced especially during recessions associated with crises. Finally, we document the presence of a global information factor; information produced in advanced countries can predict financial crises in emerging markets and results in reallocation at a global level via capital flows among countries.

Date: 2018
New Economics Papers: this item is included in nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://red-files-public.s3.amazonaws.com/meetpapers/2018/paper_167.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:red:sed018:167

Access Statistics for this paper

More papers in 2018 Meeting Papers from Society for Economic Dynamics Society for Economic Dynamics Marina Azzimonti Department of Economics Stonybrook University 10 Nicolls Road Stonybrook NY 11790 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christian Zimmermann (chuichuiche@gmail.com).