Agents are generally uncertain about multiple, and possibly time-varying, structural parameters that drive consumption and financial payoffs but learn through noisy correlated signals, such as aggregate or macroeconomic news. We find that dynamic learning of multivariate time-varying parameters...

A model of endogenous investment booms and busts with rational agents is presented where outside investors are uncertain about both industry (aggregate) and firm-specific capital productivity, and insiders manipulate information through strategic productivity disclosures. For intermediate and...