Blackwell's Ordering and Public Information
We characterize a precise comparative static on welfare and the amount of public information in an economy under uncertainty. Results dating to Hirshleifer (1971) have suggested that information can have negative value in such a setting, but counterexamples using competitive equilibrium outcomes have suppressed general results to this effect. We show that under the solution concept of implementable allocations, the negative relationship between more public information in the sense of Blackwell and welfare is fully general. Furthermore, Blackwell's ranking is necessary as well as sufficient to obtain our ranking, and hence ours provides an equivalent characterization of his ordering.
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- Eckwert, B. & Zilcha, I., 1999.
"Incomplete Risk Sharing Arrangements and the Value of Information,"
13-99, Tel Aviv.
- Bernhard Eckwert & Itzhak Zilcha, 2003. "Incomplete risk sharing arrangements and the value of information," Economic Theory, Springer, vol. 21(1), pages 43-58, 01.
- Nils H. Hakansson & J. Gregory Kunkel & James A. Ohlson., 1981.
"Sufficient and Necessary Conditions for Information to Have Social Value in Pure Exchange,"
Research Program in Finance Working Papers
122, University of California at Berkeley.
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- Edward E. Schlee, 2001. "The Value of Information in Efficient Risk-Sharing Arrangements," American Economic Review, American Economic Association, vol. 91(3), pages 509-524, June.
- Green, Jerry R, 1981. "Value of Information with Sequential Futures Markets," Econometrica, Econometric Society, vol. 49(2), pages 335-58, March.
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