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作者：Pietra, Tito; Siconolfi, Paolo
作者单位：University of Bologna; Columbia University
摘要：We consider an economy with asymmetric information and two types of agents, fully informed and uninformed. Uninformed agents update their information observing equilibrium prices and the equilibrium levels of other agents' excess demand. We show that, for a generic set of economies, there are rational expectations equilibria which are partially revealing on an open, dense set of signals of positive Lebesgue measure, provided that the dimension of the signal space is sufficiently larger than th...
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作者：Forges, Francoise; Koessler, Frederic
作者单位：Paris School of Economics; Universite PSL; Universite Paris-Dauphine; Centre National de la Recherche Scientifique (CNRS)
摘要：This paper characterizes geometrically the sets of all Nash and perfect Bayesian equilibrium payoffs achievable with unmediated communication in persuasion games, i.e., games with an informed expert and an uninformed decisionmaker in which the expert's information is certifiable. The first equilibrium characterization is provided for unilateral persuasion games, and the second for multistage, bilateral persuasion games. As in Aumann and Hart [R.J. Aumann, S. Hart, Long cheap talk, Econometrica...
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作者：Hennessy, Christopher A.; Tserlukevich, Yuri
作者单位：University of California System; University of California Berkeley; Hong Kong University of Science & Technology
摘要：We analyze debt choice in light of taxes and moral hazard. The model features an infinite sequence of nonzero-sum stochastic differential games between equity and debt. Closed-form expressions are derived for all contingent-claims. If equity can increase volatility without reducing asset drift. callable bonds with call premia are optimal. Although callable bonds induce risk shifting, call premia precommit equity to less frequent restructuring and are tax-advantaged. Convertible bonds mitigate ...
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作者：Jaimovich, Nir
作者单位：Stanford University
摘要：This note analyzes how the indeterminacy of competitive equilibrium in one-sector growth models depends on the magnitude of the households' income effect on the demand for leisure. Since I am interested in quantitatively characterizing regions of indeterminacy, I use the Jaimovich and Rebelo [N. Jaimovich, S. Rebelo, Can news about the future drive the business cycle? Mimeo, Northwestern University, 2007] preferences that span a wide range of income effect values. I find that indeterminacy can...
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作者：Mathis, Jerome
作者单位：Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics
摘要：We provide necessary and sufficient conditions on both players' preferences and information that can be certified for a Sender-Receiver game to possess a separating equilibrium, as well as sufficient conditions for every equilibrium of such a game to be separating. Accordingly, we generalize Seidmann and Winter's [D.J. Seidmann, E. Winter, Strategic information transmission with verifiable messages, Econometrica 65 (1997) 163-170] results to games with partial provability. (C) 2008 Elsevier In...
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作者：Basak, Suleyman; Cass, David; Licari, Juan Manuel; Pavlova, Anna
作者单位：University of Pennsylvania; University of London; London Business School
摘要：This paper explores the role of portfolio constraints in generating multiplicity of equilibrium. We present a simple financial market economy with two goods and two households, households who face constraints on their ability to take unbounded positions in risky stocks. Absent such constraints, equilibrium allocation is unique and is Pareto efficient. With one portfolio constraint in place, the efficient equilibrium is still possible; however, additional inefficient equilibria in which the con...
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作者：Mirman, Leonard J.; Morand, Olivier F.; Reffett, Kevin L.
作者单位：Arizona State University; Arizona State University-Tempe; University of Virginia; University of Connecticut
摘要：Using lattice programming and order theoretic fixpoint theory, we develop a new class of monotone iterative methods that provide a qualitative theory of Markovian equilibrium decision processes for a large class of infinite horizon economies with capital. The class of economies includes models with public policy, valued fiat money, monopolistic competition, production externalities, and various other nonconvexities in the production sets. The results can be adapted to construct symmetric Marko...
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作者：Alos-Ferrer, Carlos; Ritzberger, Klaus
作者单位：University of Konstanz
摘要：This paper addresses the question of what it takes to obtain a well-defined extensive form game. Without relying on simplifying finiteness or discreteness assumptions, we characterize the class of game trees for which all pure strategy combinations induce unique outcomes. The generality of the set-up covers exotic cases, like stochastic games or decision problems in continuous time (differential games). We find that the latter class, though a well-defined problem, fails this test. (C) 2008 Els...
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作者：Kocherlakota, Narayana
作者单位：University of Minnesota System; University of Minnesota Twin Cities; National Bureau of Economic Research
摘要：This paper proves two theorems about economies with a finite number of infinitely lived agents who trade a complete set of one-period Arrow securities and several infinitely lived securities at each date, subject to short-sales constraints. The first theorem in the paper considers an equilibrium to an economy of this kind. It proves that there exists another economy with perturbed short-sales constraints in which there is an allocation-equivalent equilibrium in which asset prices have a bubble...
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作者：Koeppl, Thorsten; Monnet, Cyril; Temzelides, Ted
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh; Queens University - Canada; European Central Bank
摘要：We investigate the role of settlement in a dynamic model of a payment system where the ability of participants to perform certain welfare-improving transactions is subject to random and unobservable shocks. In the absence of settlement, the full information first-best allocation cannot be supported due to incentive constraints. In contrast, this allocation can be supported if settlement is introduced, provided that it takes place with a sufficiently high frequency. (C) 2006 Elsevier Inc. All r...
