Information, market power, and price volatility

• 成果类型: Article
• 署名作者: Bergemann, Dirk; Heumann, Tibor; Morris, Stephen
• 署名单位: Yale University; Pontificia Universidad Catolica de Chile; Massachusetts Institute of Technology (MIT)
• 刊物名称: RAND JOURNAL OF ECONOMICS
• ISSN/ISSBN: 0741-6261
• DOI: 10.1111/1756-2171.12364
• 发表日期: 2021
• 页码: 125-150
• 关键词: robust predictions; equilibrium; auctions; BEHAVIOR

摘要

We consider demand function competition with a finite number of agents and private information. We show that any degree of market power can arise in the unique equilibrium under an information structure that is arbitrarily close to complete information. Regardless of the number of agents and the correlation of payoff shocks, market power may be arbitrarily close to zero (the competitive outcome) or arbitrarily large (so there is no trade). By contrast, price volatility is always lower than the variance of the aggregate shock across all information structures. Alternative trading mechanisms lead to very distinct bounds as a comparison with Cournot competition establishes.