Markets with Multidimensional Private Information

• 成果类型: Article
• 署名作者: Guerrieri, Veronica; Shimer, Robert
• 署名单位: University of Chicago; University of Chicago
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MICROECONOMICS
• ISSN/ISSBN: 1945-7669
• DOI: 10.1257/mic.20160129
• 发表日期: 2018
• 页码: 250-274
• 关键词: Adverse selection; signaling games; equilibrium; liquidity; QUALITY; lemons; securitization; intervention; demand; MODEL

摘要

This paper explores price formation when sellers are privately informed about their preferences and the quality of their asset. There are many equilibria, including a semi-separating one in which each seller's price depends on a one-dimensional index of her preferences and asset quality. This multiplicity does not rely on off-the-equilibrium path beliefs and so is not amenable to standard signaling game refinements. The semi-separating equilibrium may not be Pareto efficient, even if it is not Pareto dominated by any other equilibrium. Instead, efficient allocations may require transfers across uninformed buyers, inconsistent with any equilibrium.