Robust predictions in dynamic policy games

• 成果类型: Article
• 署名作者: Passadore, Juan; Xandri, Juan Pablo
• 署名单位: International Monetary Fund; Universidad de los Andes - Chile
• 刊物名称: THEORETICAL ECONOMICS
• ISSN/ISSBN: 1933-6837
• DOI: 10.3982/TE4489
• 发表日期: 2024-11-01
• 页码: 1659-1700
• 关键词: Multiple equilibria; Robustness; moment inequalities; correlated equilibrium; policy games; C73

摘要

Dynamic policy games feature a wide range of equilibria. This paper provides a methodology for obtaining robust predictions. We focus on a model of sovereign debt, although our methodology applies to other settings, such as models of monetary policy or capital taxation. Our main result is a characterization of distributions over outcomes that are consistent with a subgame perfect equilibrium conditional on the observed history. We illustrate our main result by computing-conditional on an observed history-bounds across all equilibria on the maximum probability of a crisis: means, variances, and covariances over debt prices.