ADVERSE SELECTION WITH HETEROGENEOUSLY INFORMED AGENTS

• 成果类型: Article
• 署名作者: Davoodalhosseini, Seyed Mohammadreza
• 署名单位: Bank of Canada
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/iere.12458
• 发表日期: 2020
• 页码: 1307-1358
• 关键词: insurance markets; trading dynamics; social value; INFORMATION; search; EFFICIENCY; liquidity; PRIVATE; intervention; COORDINATION

摘要

A model of over-the-counter markets is proposed. Some asset buyers are informed in that they can identify high-quality assets. Sellers with private information choose what type of buyers they want to trade with. When the measure of informed buyers is low, a unique equilibrium exists, and interestingly, price, trading volume and welfare typically decrease with more informed buyers. When the measure of informed buyers is intermediate, multiple equilibria arise. A switch from one equilibrium to another can lead to large drops in liquidity, price, trading volume, and welfare, like a financial crisis. Implications of an endogenous measure of informed buyers are also studied.