Price discovery in a matching and bargaining market with aggregate uncertainty

• 成果类型: Article
• 署名作者: Shneyerov, Artyom; Wong, Adam C. L.
• 署名单位: Concordia University - Canada; Universite de Montreal; Concordia University - Canada; Lingnan University
• 刊物名称: GAMES AND ECONOMIC BEHAVIOR
• ISSN/ISSBN: 0899-8256
• DOI: 10.1016/j.geb.2020.08.006
• 发表日期: 2020
• 页码: 183-206
• 关键词: Dynamic matching and bargaining; Convergence to perfect competition; aggregate uncertainty

摘要

We introduce aggregate uncertainty into a Rubinstein and Wolinsky (1985)-type dynamic matching and bilateral bargaining model. The market can be either in a high state, where there are more buyers than sellers, or in a low state, where there are more sellers than buyers. Traders do not know the state. They randomly meet each other and bargain by making take-it-or-leave-it offers. The only information transmitted in a meeting is the time a trader spent on the market. There are two kinds of search frictions: time discounting and exogenous exit. We find that as the search frictions vanish, the market discovers the competitive price quickly: the prices offered in equilibrium converge in expectation to the true-state Walrasian price at the rate linear in the total search friction. This rate is the same as it would be if the state were commonly known. (c) 2020 Elsevier Inc. All rights reserved.