Tractable dynamic global games and applications

• 成果类型: Article
• 署名作者: Mathevet, Laurent; Steiner, Jakub
• 署名单位: University of Texas System; University of Texas Austin; Czech Academy of Sciences; Economics Institute of the Czech Academy of Sciences; Charles University Prague; Northwestern University
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2013.07.015
• 发表日期: 2013
• 页码: 2583-2619
• 关键词: Global games; Dynamic game; COORDINATION; unique equilibrium; welfare; taxation

摘要

We present a family of tractable dynamic global games and its applications. Agents privately learn about a fixed fundamental, and repeatedly adjust their investments while facing frictions. The game exhibits many externalities: payoffs may depend on the volume of investment, on its volatility, and on its concentration. The solution is driven by an invariance result: aggregate investment is (in a pivotal contingency) invariant to a large family of frictions. We use the invariance result to examine how frictions, including those similar to the Tobin tax, affect equilibrium. We identify conditions under which frictions discourage harmful behavior without compromising investment volume. (C) 2013 Elsevier Inc. All rights reserved.