Signalling with Private Monitoring

• 成果类型: Article
• 署名作者: Cisternas, Gonzalo; Kolb, Aaron
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - New York; Pennsylvania State System of Higher Education (PASSHE); Indiana University of Pennsylvania
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1093/restud/rdae035
• 发表日期: 2024
• 页码: 909-953
• 关键词: indicator variables; repeated games; DISCRETION; MARKET; credibility; reputation; forecasts; POLICY; rules

摘要

We study dynamic signalling when the sender does not see the signals that her actions generate. The sender then uses her past play to forecast what a receiver believes, in turn forcing the receiver to forecast the previous forecast, and so forth. We identify a class of linear-quadratic-Gaussian games where this endogenous higher-order uncertainty can be handled. The sender's second-order belief is key: it is a private state that she controls, and it creates a new channel for information transmission. We examine the role of higher-order uncertainty and this new signalling channel in applications to macroeconomics, reputation, and trading: inflationary biases under discretion can be larger; career-concerned agents may benefit from not knowing their reputations; and informed trades can carry more price impact. We also introduce an existence method for boundary value problems that can be used in other dynamic games.