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作者：Cetemen, Doruk; Feng, Felix Zhiyu; Urgun, Can
作者单位：City St Georges, University of London; University of Washington; University of Washington Seattle; Princeton University
摘要：This paper studies a continuous-time, finite-horizon contracting problem with renegotiation and dynamic inconsistency arising from non-exponential discounting. The problem is formulated as a dynamic game played among the agent, the principal and their respective future selves, each with their own discount function. We identify the principal optimal renegotiation-proof contract as a Markov perfect equilibrium (MPE) of the game, prove that such an MPE exists, and characterize the optimal contrac...
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作者：Won, Dong Chul
作者单位：Ajou University
摘要：This paper investigates the uniqueness of equilibrium in the economy where agents have preferences with possibly distinct levels of relative risk aversion. Equilibrium prices exist in a price range determined by micro and macroeconomic information. Macroeconomic information is inferred from two representativeagent economies, which provide lower and upper bounds on aggregate demand, respectively. Analysis of the first and second-order price effects shows that individual demand has a unique infl...
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作者：Bich, Philippe; Teteryatnikova, Mariya
作者单位：Paris School of Economics; HSE University (National Research University Higher School of Economics); Vienna University of Economics & Business
摘要：We extend standard tools from equilibrium refinement theory in non-cooperative games to a coopera-tive framework of network formation. First, we introduce the new concept of perfect pairwise stability. It transposes the idea of trembling hand perfection to network formation theory and strictly refines the pairwise stability concept of Jackson and Wolinsky (1996). Second, we study basic properties of perfect pairwise stability: existence, admissibility and perturbation. We further show that our...
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作者：Kops, Christopher; Pasichnichenko, Illia
作者单位：Maastricht University; University of London; Queen Mary University London
摘要：The standard Subjective Expected Utility model of decision-making implies that information can never have a negative value ex-ante. Many ambiguity theories have since questioned this property. We provide an experimental test of the connection between the value of information and ambiguity attitude. Our results show that the value of information can indeed be negative when new information renders hedging against ambiguity impossible. Moreover, the value of information is correlated with ambigui...
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作者：Zeng, Yishu
作者单位：York University - Canada
摘要：We consider a setting where one sender can communicate with several privately informed receivers through a persuasion mechanism before the receivers play a game. We show that for any potentially randomized persuasion mechanism, under certain conditions, there is an effectively equivalent deterministic persuasion mechanism, and these two mechanisms have the same set of equilibria. We exhibit the usefulness of our result in an information disclosure application, where our technique helps to deri...
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作者：Segura, Anatoli; Villacorta, Alonso
作者单位：European Central Bank; Bank of Italy; Center for Economic & Policy Research (CEPR); University of California System; University of California Santa Cruz
摘要：Safe asset demand increases loan risk. This arises in a competitive model in which securitization vehicles create safe assets by pooling loan payoffs purchased from loan originators. Equity investors allocate their wealth between originators, who need skin-in-the-game due to moral hazard, and vehicles, who need loss-absorption capacity against aggregate risk. An increase in demand for safety fosters safe asset creation through a securitization boom: originators sell more of their loan payoffs ...
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作者：Schlee, Edward E.; Khan, M. Ali
作者单位：Arizona State University; Arizona State University-Tempe; Johns Hopkins University
摘要：We identify local Pareto improvements from a valuation equilibrium, and extend the results of Hirshleifer, Arrow-Lind, Milleron, and Radner on the evaluation of small projects to behavioral or nonstandard choice models. We use the sign of directional derivative of the sum of McKenzie-Samuelson money metrics to evaluate small projects, but, rather than assume its differentiability, furnish preference conditions that guarantee it. Our methods yield, as an unintended consequence, (i) a refutation...
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作者：Dargaj, Jakub; Simonsen, Jakob Grue
作者单位：University of Copenhagen
摘要：It is well-known that for infinitely repeated games, there are computable strategies that have best responses, but no computable best responses. These results were originally proved for either specific games (e.g., Prisoner's dilemma), or for classes of games satisfying certain conditions not known to be both necessary and sufficient.We derive a complete characterization in the form of simple necessary and sufficient conditions for the existence of a computable strategy without a computable be...
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作者：Azevedo, Eduardo M.; Mao, David; Olea, Jose Luis Montiel; Velez, Amilcar
作者单位：University of Pennsylvania; University of Pennsylvania; Cornell University; Northwestern University
摘要：A risk-neutral firm can perform a randomized experiment (A/B test) to learn about the effects of im-plementing an idea of unknown quality. The firm's goal is to decide the experiment's sample size and whether or not the idea should be implemented after observing the experiment's outcome. We show that when the distribution for idea quality is Gaussian and there are linear costs of experimentation, there are exact formulae for the firm's optimal implementation decisions, the value of obtaining m...
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作者：Chen, Yi-Chun; Kunimoto, Takashi; Sun, Yifei
作者单位：National University of Singapore; National University of Singapore; Singapore Management University; University of International Business & Economics
摘要：The literature on robust mechanism design assumes players' knowledge about a fixed payoff environment and investigates global robustness of optimal mechanisms to large changes in the information structure. Ac-knowledging global robustness as a demanding requirement, we propose continuous implementation as a notion of local robustness. Keeping the assumption of payoff knowledge, we say that an SCF is continu-ously implementable if there exists a mechanism which yields the outcome close to the d...
