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作者：Hwang, Ilwoo
作者单位：University of Miami
摘要：We study a dynamic trading game in which the information asymmetry between the agents develops over time. A seller and potential buyers start out symmetrically uninformed about the quality of a good, but the seller becomes informed after the game begins. We show that this developing adverse selection gives rise to novel trading dynamics. In particular, if the seller's learning speed is high, the equilibrium features collapse-and-recovery behavior: Both the equilibrium price and the trade proba...
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作者：Cvitanic, Jaksa; Xing, Hao
作者单位：California Institute of Technology; University of London; London School Economics & Political Science
摘要：We consider the problem of finding equilibrium asset prices in a financial market in which a portfolio manager (Agent) invests on behalf of an investor (Principal), who compensates the manager with an optimal contract. We extend a model from Buffa, Vayanos and Woolley (2014) by allowing general contracts, and by allowing the portfolio manager to invest privately in individual risky assets or the index. To alleviate the effect of moral hazard, Agent is optimally compensated by benchmarking to t...
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作者：Barthelemy, Jean; Mengus, Eric
作者单位：European Central Bank; Bank of France; Institut d'Etudes Politiques Paris (Sciences Po); Hautes Etudes Commerciales (HEC) Paris
摘要：This paper argues that central bankers should temporarily raise inflation when anticipating liquidity traps to ensure the credibility of otherwise time-inconsistent forward guidance policies. As stable inflation in normal times either stems from central bankers' desire to maintain credibility or from aversion to inflation, the private sector is unable to infer the central banker's willingness to follow through on promises from observing stable inflation, jeopardizing the efficiency of forward ...
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作者：Henderson, Vicky; Hobson, David; Tse, Alex S. L.
作者单位：University of Warwick; University of Cambridge; Imperial College London
摘要：In this paper we study a continuous-time, optimal stopping model of an asset sale with prospect theory preferences under pre-commitment. We show for a wide range of value and probability weighting functions, including those of Tversky and Kahneman (1992), that the optimal prospect takes the form of a stop-loss threshold and a distribution over gains. It is skewed with a long right tail. This is consistent with both the widespread use of stop-loss strategies in financial markets, and recent exp...
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作者：Allen, Franklin; Carletti, Elena; Goldstein, Itay; Leonello, Agnese
作者单位：Imperial College London; Bocconi University; Centre for Economic Policy Research - UK; University of Pennsylvania; European Central Bank
摘要：Banks are intrinsically fragile because of their role as liquidity providers. This results in under-provision of liquidity. We analyze the effect of government guarantees on the interconnection between banks' liquidity creation and likelihood of runs in a global-game model, where banks' and depositors' behavior are endogenous and affected by the amount and form of guarantee. The main insight of our analysis is that guarantees are welfare improving because they induce banks to improve liquidity...
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作者：Juarez, Ruben; Ko, Chiu Yu; Xue, Jingyi
作者单位：University of Hawaii System; National University of Singapore; Singapore Management University
摘要：Consider a sequential process where agents have individual values at every possible step. A planner is in charge of selecting steps and distributing the accumulated aggregate values among a number of agents. We model this process by a directed network, whereby each edge is associated with a vector of individual values. This model applies to several new and existing problems, e.g. developing a connected public facility and distributing total values received by surrounding districts, selecting a...
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作者：Sprumont, Yves
作者单位：Universite de Montreal; Universite de Montreal
摘要：The belief-weighted Nash social welfare functions are methods for aggregating Savage preferences defined over a set of acts. Each such method works as follows. Fix a 0-normalized subjective expected utility representation of every possible preference and assign a vector of individual weights to each profile of beliefs. To compute the social preference at a given preference profile, rank the acts according to the weighted product of the individual 0-normalized subjective expected utilities they...
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作者：De Castro, Luciano; Yannelis, Nicholas C.
作者单位：University of Iowa; University of Iowa
摘要：A fundamental result of modern economics is the conflict between efficiency and incentive compatibility, that is, the fact that some Pareto optimal (efficient) allocations are not incentive compatible. This conflict has generated a huge literature, which almost always assumes that individuals are expected utility maximizers. What happens if they have other kind of preferences? Is there any preference where this conflict does not exist? Can we characterize those preferences? We show that in an ...
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作者：Gossner, Olivier; Steiner, Jakub
作者单位：Institut Polytechnique de Paris; Ecole Polytechnique; ENSAE Paris; Centre National de la Recherche Scientifique (CNRS); University of London; London School Economics & Political Science; University of Zurich; Charles University Prague; Czech Academy of Sciences; Economics Institute of the Czech Academy of Sciences
摘要：In a choice model, we characterize the loss induced by misperceptions of payoff-relevant parameters across a distribution of decision problems. When the agent cannot avoid misperceptions but has some control over the distribution of errors, we show that strategies that minimize loss from misperception exhibit systematic biases, akin to some documented in the behavioral and psychological literatures. We include illusion of control, order effect, overprecision, and overweighting of small probabi...
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作者：Mertikopoulos, Panayotis; Sandholm, William H.
作者单位：Inria; Communaute Universite Grenoble Alpes; Institut National Polytechnique de Grenoble; Universite Grenoble Alpes (UGA); Centre National de la Recherche Scientifique (CNRS); University of Wisconsin System; University of Wisconsin Madison
摘要：We study a class of evolutionary game dynamics defined by balancing a gain determined by the game's payoffs against a cost of motion that captures the difficulty with which the population moves between states. Costs of motion are represented by a Riemannian metric, i.e., a state-dependent inner product on the set of population states. The replicator dynamics and the (Euclidean) projection dynamics are the archetypal examples of the class we study. Like these representative dynamics, all Rieman...
