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1.
Massimiliano Amarante 《Economic Theory》2003,22(2):353-374
Summary. In each stage of a repeated game with private monitoring, the players receive payoffs and privately observe signals which
depend on the players' actions and the state of world. I show that, contrary to a widely held belief, such games admit a recursive
structure. More precisely, I construct a representation of the original sequential problem as a sequence of static games with
incomplete information. This establishes the ground for a characterization of strategies and, hence, of behavior in interactive-decision
settings where private information is present. Finally, the representation is used to give a recursive characterization of
the equilibrium payoff set, by means of a multi-player generalization of dynamic programming.
Received: February 11, 2002; revised version: July 22, 2002
RID="*"
ID="*" I am very grateful to In-Koo Cho, Larry Epstein, Denis Gromb, Stephen Morris, Paolo Siconolfi, Lones Smith and Max
Stinchcombe for several insights and suggestions. A referee's comments helped improving the exposition. Finally, I wish to
thank the participants to the seminars at MEDS, NYU, Columbia University, Caltech, UCLA, University of Rochester, University
of Texas-Austin, Northwestern Summer Microeconomics Conference 98, Summer in Tel Aviv 98, and NASM98. 相似文献
2.
Summary. This paper introduces the framework of rational beliefs of Kurz (1994), which makes the assumptions of heterogeneous beliefs
of Harrison and Kreps (1978) and Morris (1996) more plausible. Agents hold diverse beliefs that are “rational” in the sense
of being compatible with ample observed data. In a non-stationary environment the agents only learn about the stationary measure
of observed data, but their beliefs can remain non-stationary and diverse. Speculative trading then stems from disagreements
among traders. In a Markovian framework of dividends and beliefs, we obtain analytical results to show how the speculative
premium depends on the extent of heterogeneity of beliefs. In addition, we demonstrate that there exists a unique Rational
Belief Equilibrium (RBE) generically with endogenous uncertainty (as defined by Kurz and Wu, 1996) and that the RBE price
is higher than the rational expectation equilibrium price (REE) under some general conditions
Received: March 15, 2001; revised version: April 26, 2002
RID="*"
ID="*" We are deeply grateful to Mordecai Kurz for his constant encouragement and inspiring guidance over the years. We wish
to express our gratitude to an anonymous referee for the very valuable comments provided. We also thank Kenneth Arrow, Peter
Hammond, Roko Aliprantis and Nicholas Yannelis for their helpful suggestions and Academia Sinica and the National Science
Council of the R.O.C. for their indispensable support.
Correspondence to: H.-M. Wu 相似文献
3.
Summary. In the context of differential information economies, with and without free disposal, we consider the concepts of Radner
equilibrium, rational expectations equilibrium, private core, weak fine core and weak fine value. We look into the possible
implementation of these concepts as perfect Bayesian or sequential equilibria of noncooperative dynamic formulations. We construct
relevant game trees which indicate the sequence of decisions and the information sets, and explain the rules for calculating
ex ante expected payoffs. The possibility of implementing an allocation is related to whether or not it is incentive compatible.
Implementation through an exogenous third party or an endogenous intermediary is also considered.
Received: November 19, 2001; revised version: April 17, 2002
RID="*"
ID="*" This paper comes out of a visit by Nicholas Yannelis to City University, London, in December 2000. We are grateful
to Dr A. Hadjiprocopis for his invaluable help with the implementation of Latex in a Unix environment. We also thank Leon
Koutsougeras and a referee for several, helpful comments.
Correspondence to: N.C. Yannelis 相似文献
4.
Tatsuyoshi Miyakoshi 《Empirical Economics》2003,28(1):173-180
In this paper the models for the real exchange rate determination are re-examined between Japan and five East-Asian countries.
Two important findings are reported. First, the real interest rate-bias model is valid for Korea-, Malaysia-, Indonesia-,
and Philippines-Japan, and the productivity-bias model is valid for Indonesia-, and Philippines-Japan: that is, the coefficients
of relative variables are stable and statistically significant. Second, there is no evidence that the political risk premium
model is valid.
First version received: September 2000/Final version received: April 2001
RID="*"
ID="*" This paper was presented at the Tohoku University Economics Conference April 1999. I acknowledge Yoshihiko Tsukuda,
Hiroya Akiba, Tadashi Kuriyama, Jiro Akita and Hiroyuki Ozaki for their helpful comments. Also, I am very grateful to two
referees of this journal for many valuable comments. The research was supported by the Nomura foundation for Social Science
in 2000. 相似文献
5.
Carsten Krabbe Nielsen 《Economic Theory》2003,21(2-3):293-315
Using the concept of ex-post optimality, we compare different exchange rate regimes, including floating exchange rates and
fixed exchange rates with a Monetary Union in a two country OLG model with stochastic endowments. The emphasis of this comparison
is on the welfare consequences of agents having incorrect beliefs. We do not assume that agents can hold any beliefs, but
rather that their beliefs are rational that is consistent with the observed empirical behavior of the economy. We study a
large set of possible policies, but two of them have our particular interest. The first policy implies devaluations in reaction
to a negative shock, while the other implies a fixed exchange rate. These policies have very different consequences. The first
will for generic beliefs not result in an ex-post optimal allocation. The other policy is on the other hand always feasible
and results in an ex-post optimal allocation. When the two countries form a Monetary Union, the ex-post optimal allocation
is also achieved. The meaning of “endogenous uncertainty” as an institutionally induced uncertainty is illustrated.
Received: September 1, 2001; revised version: 24 June 2002
RID="*"
ID="*" I would like to thank Horace W. Brock, Gianluca Cassese, Paula Orlando, Ho-Mou Wu as well as seminar participants at
Copenhagen Business School, ESEM98, Keio University, Kyoto University, Osaka University, SITE (Stanford) and University of
Copenhagen for many useful comments on the paper. I am also grateful to Mark J. Garmaise, Takako Fujiwara-Greve, and an anonymous
referee for many helpful suggestions for improving the paper. Without the many discussions about Rational Beliefs and related
issues I have had with Mordecai Kurz over the years, the research presented here would not have been possible. Financial support
from The Carlsberg Foundation, Danish Social Research Council, University of Copenhagen and SITE is gratefully acknowledged. 相似文献
6.
Hideki Mizukami 《Economic Theory》2003,22(1):211-217
Summary. We consider the problem of choosing one point in a set of alternatives when monetary transfers are possible. In this context,
Schummer (2000) shows that a social choice function must be a constant function if manipulation through bribes is ruled out.
But he requires two kinds of domain-richness conditions. One is either smooth connectedness or the finiteness of the set of
alternatives and the other is monotonical closedness. However, dispensing with the former condition, we alternatively prove
the same result under a weaker condition than monotonical closedness.
Received: April 11, 2000; revised version: February 25, 2002
RID="*"
ID="*" This paper received the Osaka University Institute of Social and Economic Research Moriguchi Prize in January 2001.
I am grateful to Prof. Ryoichi Nagahisa, Prof. Tatsuyoshi Saijo, Prof. Ken-ichi Shimomura, Prof. Ken Urai, and especially
two anonymous referees for their useful and helpful comments and suggestions. I am a Research Fellow of the Japan Society
for the Promotion of Science. 相似文献
7.
Kevin D. Cotter 《Economic Theory》1994,4(4):617-627
Summary Aumann's notion of correlated equilibrium is extended to games with payoff uncertainty. A type correlated equilibrium is a correlated equilibrium for Harsanyi's game in player-types. An equivalent definition is a probability distribution over types and actions which is consistent with the prior distribution over types, such that when each player observes its type and action, the observed action is optimal and no further information about other players' types is obtained. Any such equilibrium can be implemented by a type-independent correlation device when players' observations may be type-dependent. The type correlated equilibrium correspondence is shown to be upperhemicontinuous with respect to player information.Support from NSF grant IRI-8609208 is gratefully acknowledged. I am grateful to Maxwell Stinchcombe for comments on an earlier draft of this paper. Any remaining errors are my own. 相似文献
8.
Oleksii Birulin 《Economic Theory》2003,22(3):675-683
Summary. I consider a single-object English auction with two asymmetric bidders and show that it has a continuum of inefficient undominated
ex-post equilibria. The result extends for the generalized VCG mechanism, Dasgupta-Maskin auction and, generally, for every
auction that has an efficient ex-post equilibrium.
Received: November 5, 2001; revised version: June 10, 2002
RID="*"
ID="*"I am grateful to Vijay Krishna, Sergei Izmalkov and anonymous referee for many important comments. 相似文献
9.
Closed-loop equilibrium in a multi-stage innovation race 总被引:1,自引:0,他引:1
Kenneth L. Judd 《Economic Theory》2003,21(2-3):673-695
Summary. We examine a multistage model of an R&D race where players have multiple projects. We also develop perturbation methods for
general dynamic games that can be expressed as analytic operators in a Banach space. We apply these perturbation methods to
solve races with a small prize. We compute second-order asymptotically valid solutions for equilibrium and socially optimal
decisions to determine qualitative properties of equilibrium. We find that innovators invest relatively too much on risky
projects. Strategic reactions are ambiguous in general; in particular, a player may increase expenditures as his opponent
moves ahead of him.
Received: January 3, 2002; revised version: June 14, 2002
RID="*"
ID="*" This is the final version of Judd (1985). The author gratefully acknowledges the comments of anonymous referees, Paul
Milgrom, seminar participants at Northwestern University, the University of Chicago, the 1984 Summer Meetings of the Econometric
Society, University of California at Berkeley, Stanford University, and Yale University, and the financial support of the
National Science Foundation (SES-8409786, SES-8606581) 相似文献
10.
Juan Delgado 《Economic Theory》2006,29(1):219-229
Whereas in the absence of capacity constraints the Cournot outcome is the unique coalition-proof supply function equilibrium outcome, the presence of capacity constraints may enlarge the set of equilibrium outcomes. Interestingly, if capacities are sufficiently asymmetric the new equilibrium prices are below the Cournot price. These results have important implications for merger and privatization policies: specifically, capacity divestiture will not necessarily imply lower market prices.This article is based on the second chapter of my PhD dissertation. I benefited from the comments and suggestions of Diego Moreno and Bill Hogan. I thank three anonymous referees for helpful comments. Seminar audiences at Carlos III and Harvard are gratefully acknowledged. The author is currently a Repsol YPF fellow at the Harvard John F. Kennedy School of Government. I am grateful to the Repsol YPF-Harvard Fellowship Program for financial support. 相似文献
11.
The proper panel econometric specification of the gravity equation: A three-way model with bilateral interaction effects 总被引:6,自引:0,他引:6
We argue that the proper specification of a panel gravity model should include main (exporter, importer, and time) as well
as time invariant exporter-by-importer (bilateral) interaction effects. In a panel of 11 APEC countries, the latter are highly
significant and account for the largest part of variation.
First version received: February 2001/Final version received: June 2002
RID="*"
ID="*" We are grateful to two anonymous referees and Robert Kunst for their helpful comments. 相似文献
12.
Beth Allen 《Economic Theory》2003,21(2-3):527-544
Summary. This paper examines the ex ante core of a pure exchange economy with asymmetric information in which state-dependent allocations are required to satisfy
incentive compatibility. This restriction on players' strategies in the cooperative game can be interpreted as incomplete
contracts or partial commitment. An example is provided in which the incentive compatible core with nontransferable utility
is empty; the game fails to be balanced because convex combinations of incentive compatible net trades can violate incentive
compatibility. However, randomization of such strategies leads to ex post allocations which satisfy incentive compatibility and are feasible on average. Hence, convexity is preserved in such a model
and the resulting cooperative games are balanced. In this framework, an incentive compatible core concept is defined for NTU
games derived from economies with asymmetric information. The main result is nonemptiness of the incentive compatible core.
Received: December 26, 2001; revised version: June 11, 2002
RID="*"
ID"*" This work was financed, in part, by contract No 26 of the programme “P?le d'attraction interuniversitaire” of the Belgian
government, and, in part, by research grant SBR93-09854 from the U.S. National Science Foundation. Much of my thinking about
this topic was developed during a wonderful visit to CORE for the 1991–1992 academic year (on sabbatical from the University
of Pennsylvania). This paper was originally circulated in December 1991 as CARESS Working Paper #91-38, Center for Analytic
Research in Economics and the Social Sciences, Department of Economics, University of Pennsylvania and in February 1992 as
CORE Discussion Paper 9221, Center for Operations Research and Econometrics, Université Catholique de Louvain, Louvain-la-Neuve,
Belgium.
RID="*"
ID="*" At the very start of my research, Jean-Fran?ois Mertens was almost a co-author. Fran?ois Forges provided detailed comments
at a later stage, during my visit to THEMA, Université Cergy-Pontoise, in Spring 1997. They are entitled to the customary
disclaimer. 相似文献
13.
This paper provides an empirical analysis of the structure of earnings in West Germany across skill groups and industries.
Our analysis is based on data from the German Socioeconomic Panel for the period 1984 to 1994. We estimate quantile regressions,
both for the entire sample period and for each year separately, in order to obtain a finer picture of the earnings structure
compared to conventional least squares methods. For robust standard error estimation, this study uses a block bootstrap procedure
taking account of heteroskedasticity and autocorrelation in the error term. We also suggest a simple procedure to obtain a
consistent estimate of inter-industry earnings variability. Our main findings are: first, pooled estimation comprising a uniform
time trend is not rejected by the data, and second, the effects of human capital variables and industry dummies on earnings
differ considerably across quantiles.
First version: May 1998/Final version: April 2002
RID="*"
ID="*" We are grateful to an anonymous referee as well as to Thiess Büttner, Christian Dustmann, Wolfgang Franz, John Haisken-DeNew,
Costas Meghir, Werner Smolny, Peter Winker, Volker Zimmermann, and seminar participants in Heidelberg, Kassel, Konstanz, and
Paris for helpful comments. However, all errors are our sole responsibility.
RID="*"
ID="*" We are grateful to an anonymous referee as well as to Thiess Büttner, Christian Dustmann, Wolfgang Franz, John Haisken-DeNew,
Costas Meghir, Werner Smolny, Peter Winker, Volker Zimmermann, and seminar participants in Heidelberg, Kassel, Konstanz, and
Paris for helpful comments. However, all errors are our sole responsibility. 相似文献
14.
Summary. This paper describes conditions under which one investment project dominates a second project in terms of net present value,
irrespective of the choice of the discount rate. The resulting partial ordering of projects has certain similarities to stochastic
dominance. However, the structure of the net present value function leads to characterizations that are quite specific to
this context. Our theorems use Bernstein's (1915) innovative results on the representation and approximation of polynomials,
as well as other general results from the theory of equations, to characterize the partial ordering. We also show how the
ranking is altered when the range of discount rates is limited or the rate varies period by period.
Received: January 5, 2002; revised version: October 29, 2002
RID="*"
ID="*" We thank Robert Driskill, Andrea Maneschi, Roy Radner, and participants of seminars at NYU, Notre Dame, Purdue, and
Washington University for helpful comments. The present version of the paper has benefited from comments by a referee and
the editor. Foster is grateful for support from the John D. and Catherine T. MacArthur Foundation through its network on Inequality
and Poverty in Broader Perspective.
Correspondence to: T. Mitra 相似文献
15.
This paper provides a framework for implementing and comparing several solution concepts for transferable utility cooperative
games. We construct bidding mechanisms where players bid for the role of the proposer. The mechanisms differ in the power
awarded to the proposer. The Shapley, consensus and equal surplus values are implemented in subgame perfect equilibrium outcomes
as power shifts away from the proposer to the rest of the players. Moreover, an alternative informational structure where
these solution concepts can be implemented without imposing any conditions of the transferable utility game is discussed as
well.
The authors thank Yukihiko Funaki, Andreu Mas-Colell, David Pérez-Castrillo and Jana Vyrastekova for helpful discussions.
We also appreciate the comments from the seminar and conference participants at Keele University, Tilburg University, University
of Haifa, University of Warwick, CORE at Louvain-la-Neuve, Catholic University Leuven, Pablo de Olavide University in Seville,
University of Vigo, the 2006 Annual Conference of the Israeli Mathematical Union in Neve Ilan, Israel, and the 61st European
Meeting of the Econometric Society in Vienna, Austria in 2006. In particular, we are grateful to the associate editor and
an anonymous referee. Their valuable comments and constructive suggestions contributed to a significant improvement of the
paper. Wettstein acknowledges the financial support of the Pinchas Sapir Center for Development in Tel Aviv University. 相似文献
16.
Reiko Aoki 《Economic Theory》2003,21(2-3):653-672
We show how credible revelation and ability to commit to quality choice effect equilibrium qualities and welfare when product
market is either Bertrand or Cournot competition. We show that results depend on the type of competition but not generally
on the cost of quality function. We show that with Bertrand competition, the equilibrium qualities are lower with credible
commitment. Competition is moderated and producer surplus is higher and consumer surplus lower. With Cournot competition,
higher quality will be better but lower quality will be worse with credible commitment. Consumer surplus is always greater
with credible commitment and if cost does not increase too quickly with quality, producer surplus will also increase. Thus
credible commitment is a collusive device with Bertrand competition but it can improve social welfare with Cournot competition.
Received: February 8, 2000; revised version: February 14, 2002
RID="*"
ID="*" The idea of this paper originated in the weekly workshops of Mordecai Kurz at Stanford. I am forever in debted to Mordecai
and fellow students – Luis Cabral, Peter DeMarzo, John Hillas, Michihiro Kandori, Steve Langois, Patrick McAllister, Steve
Sharpe, Peter Streufert, Steve Turnbull and Gyu-Ho Wang – for their criticism and encouragement. I also benefited from comments
from Yi-Heng Chen, Jin-Li Hu, Kala Krishna, Jinji Naoto, Thomas J. Prusa, and Shyh-Fang Ueng at various later stages of this
work. Last but not least, I am grateful for the detailed comments of the referee. 相似文献
17.
Summary. This paper discusses and develops “non-welfaristic” arguments on distributive justice à la J. Rawls and A. K. Sen, and formalizes,
in cooperative production economies, “non-welfaristic” distribution rules as game form types of resource allocation schemes.
First, it conceptualizes Needs Principle which the distribution rule should satisfy if this takes individuals' needs into
account. Second, one class of distribution rules which satisfy Needs Principle, a class of J-based Capability Maximum Rules, is proposed. Third, axiomatic characterizations of the class of J-based Capability Maximum Rules are provided.
Received: July 30, 1999; revised version: March 11, 2002
RID="*"
ID="*" We are grateful to an anonymous referee of this journal, Professors Marc Fleurbaey, Nicolas Gravel, Ryo-ichi Nagahisa,
Prasanta Pattanaik, Kotaro Suzumura, Koich Tadenuma, and Yongsheng Xu for their fruitful comments. An earlier version of this
paper was published with the title name, “A Game Form Approach to Theories of Distributive Justice: Formalizing Needs Principle”
as the Discussion Paper No. 407 of the Institute of Social and Economic Research, Osaka University, and in the proceedings
of the International Conference on Logic, Game, and Social Choice held at Oisterwijk in May 1999. That version was also presented
at the 3rd Decentralization Conference in Japan held at Hitotsubashi University in September 1997, at the annual meeting of
the Japan Association of Economics and Econometrics held at Waseda University in September 1997, and the 4th International
Conference of Social Choice and Welfare held at University of British Colombia in July 1998. This research was partially supported
by the Japanese Ministry of Education and the Ministry of Health and Welfare.
Correspondence to: N. Yoshihara 相似文献
18.
Patrick L. Leoni 《Economic Theory》2009,39(2):217-229
A natural conjecture is that if agents’ beliefs are almost correct then equilibrium prices should be close to rational expectations
prices. Sandroni (J Econ Theory 82:1–18, 1998) gives a counterexample in an economy with sunspots and complete markets. We
extend Sandroni’s result by showing that the conjecture is generically true for economies with complete markets. We consider
a standard General Equilibrium model with large but finite horizon and complete markets. We show that, for almost every such
economy, if conditional beliefs eventually become correct along a path of events then equilibrium prices of assets traded
along this path converge to rational expectations equilibria in the sup-norm. Moreover, we establish that, generically, there
exist along any such path local diffeomorphisms between individual beliefs and equilibrium prices.
I would like to thank C. Ewerhart and A. Kirman for their comments, as well as the seminar participants at the University
of Minho, the General Equilibrium Workshop 2005 in Zurich, and the 15th Asian General Equilibrium Conference 2007 in Singapore.
An anonymous referee also provided very valuable comments. 相似文献
19.
Summary. This paper studies the equilibria of a stochastic OLG exchange economies consisting of identical agents living for two periods,
and having the opportunity to trade a single infinitely-lived asset in constant supply. The agents have uncertain endowments
and the stochastic process determining the endowments is Markovian. For such economies, the literature has focused on studying
strongly stationary equilibria in which quantities and prices are functions of the exogenous states of nature which describe
the uncertainty: such equilibria are generalizations of deterministic steady states, and this paper investigates if they have
the same special status as asymptotic limits of other equilibrium paths. The difficulty in extending the analysis of equilibria
beyond the class of strongly stationary equilibria comes from the presence of indeterminacy: we propose a procedure for overcoming
this difficulty which can be decomposed into two steps. First backward induction arguments are used to restrict the domain
of possible prices; then if some indeterminacy is left, expectation functions are introduced to make the forward equilibrium
equations determinate. The properties of the resulting trajectories, in particular their asymptotic properties, can then be
studied. For the class of models that we study this procedure provides a justification for focusing on strongly stationary
equilibria. For the model with positive dividends (equity or land) the justification is complete, since we show that the strongly
stationary equilibrium is the unique equilibrium. For the model with zero dividends (money) there is a continuum of self-fulfilling
expectation functions resulting in a continuum of equilibrium paths starting from any admissible initial condition: under
conditions given in the paper, these equilibrium paths converge almost surely to one of the strongly stationary equilibria-either
autarchy or the stochastic analogue of the Golden Rule.
Received: November 19, 2001; revised version: March 22, 2002
RID="*"
ID="*" We are grateful for the stimulating environment and research support provided by the Cowles Foundation at Yale University
during the Fall 2000 when this paper was first conceived. We are also grateful to the participants of the SITE Workshop at
Stanford University and the Incomplete Markets Workshop at SUNY Stony Brook during the summer 2001 for helpful discussions.
Correspondence to: M. Magill 相似文献
20.
Summary. We consider a Lucas asset-pricing model with heterogeneous agents, exogenous labor income, and a finite number of exogenous
shocks. Although agents are infinitely lived, endowments and dividends are time-invariant functions of the exogenous shock
alone and are thus restricted to lie in a finite-dimensional space; genericity analysis can be conducted on sets of zero Lebesgue
measure. When financial markets are incomplete, that is, there are fewer financial securities than shocks, we show that generically
in individual endowments all competitive equilibria are Pareto inefficient.
Received: November 22, 1999; revised version: March 4, 2002
RID="*"
ID="*" We are grateful to an anonymous referee for very insightful comments on earlier drafts. 相似文献