Liquidity risk in sequential trading networks

• 成果类型: Article
• 署名作者: Kariv, Shachar; Kotowski, Maciej H.; Leister, C. Matthew
• 署名单位: University of California System; University of California Berkeley; Harvard University; Monash University
• 刊物名称: GAMES AND ECONOMIC BEHAVIOR
• ISSN/ISSBN: 0899-8256
• DOI: 10.1016/j.geb.2018.02.004
• 发表日期: 2018
• 页码: 565-581
• 关键词: Experiment; Economic networks; intermediation; liquidity; auctions; budget constraints

摘要

This paper studies a model of intermediated exchange with liquidity-constrained traders. Intermediaries are embedded in a trading network and their financial capacities are private information. We characterize our model's monotone, pure-strategy equilibrium. Agents earn positive intermediation rents in equilibrium. An experimental investigation supports the model's baseline predictions concerning agents' strategies, price dynamics, and the division of surplus. While private financial constraints inject uncertainty into the trading environment, our experiment suggests they are also a behavioral speed-bump, preventing traders from experiencing excessive losses due to overbidding. (C) 2018 Elsevier Inc. All rights reserved.