共查询到20条相似文献,搜索用时 15 毫秒
1.
Mark G. Guzman 《Economic Theory》2000,16(2):421-455
Summary. This paper analyzes the equilibrium growth paths of two economies that are identical in all respects, except for the organization
of their financial systems: in particular, one has a competitive banking system and the other has a monopolistic banking system.
In addition, the sources of inefficiencies, as a result of monopoly banking, and their relationship to the existence of credit
rationing are explored. Monopoly in banking tends to depress the equilibrium law of motion for the capital stock for either
of two reasons. When credit rationing exists, monopoly banks ration credit more heavily than competitive banks. When credit
is not rationed, the existence of monopoly banking leads to excessive monitoring of credit financed investment. Both of these
have adverse consequences for capital accumulation. In addition, monopoly banking is more likely to lead to credit rationing
than is competitive banking. Finally, the scope for development trap phenomena to arise is considered under both a competitive
and a monopolistic banking system.
Received: September 20, 1999; revised version: December 3, 1999 相似文献
2.
In this paper we examine the effects of asymmetric information on the nature of financial equilibrium and on the capital structure of firms. In the first model presented, the financial contracts on offer involve pooling equilibrium with no adverse selection. However, in the special case analyzed, where contracts are of mixed form, there may be a separating equilibrium and also equilibrium may not exist. Interesting result is that the separating equilibrium found is not economically efficient since aggregate investments falls short of first-best level. More importantly, capital structure does matter. The relative magnitude of outside equity makes a real difference to the quantity of aggregate investment in equilibrium. 相似文献
3.
Summary. This incorporates a debt contracting problem with asymmetric information into a standard monetary business cycle model. The
model incorporates a limited participation assumption in order to induce a liquidity effect of monetary shocks and propagate
monetary disturbances. The model economy shows that a positive money supply shock generates a decrease in nominal interest
rates and an increase in output level. Asymmetric information amplifies the response of capital to the money supply shock,
but does not propagate them in other ways. When the monetary shock is an innovation in reserve requirements, it induces a
persistent response of the economy.
Received: March 20, 1998; revised version: 1 April 1998 相似文献
4.
Summary. We analyze the Pareto optimal contracts between lenders and borrowers in a model with asymmetric information. The model generalizes the Rothschild-Stiglitz pure adverse selection problem by including moral hazard. Entrepreneurs with unequal abilities borrow to finance alternative investment projects which differ in degree of risk and productivity. We determine the endogenous distribution of projects as functions of the amount of loanable funds, when lenders have no information about borrowers ability and technological choices. Then, we embed these results in a dynamic competitive economy and show that the average quality of the selected projects in equilibrium may be high in recessions and low in booms. This phenomenon may generate (a) multiple steady states, (b) a smaller impact of exogenous shocks on output relative to the full information case, (c) endogenous fluctuations.Received: 11 June 2001, Revised: 17 June 2003, JEL Classification Numbers:
A10, G14, G20, E32.Correspondence to: Pietro ReichlinPietro Reichlin acknowledges financial support from MURST and Paolo Siconolfi acknowledges financial support from the GSB of Columbia University. 相似文献
5.
Giulio Seccia 《Economic Theory》2000,16(2):323-332
Summary. A simple example shows that although non-convexities might prevent the existence of a fully revealing rational expectations
equilibrium, they need not prevent the existence of a non-informative one. Indeed, the economy in this example does not possess
any fully revealing equilibria, but does have a continuum of non-informative ones.
Received: February 9, 1999; revised version: October 20, 1999 相似文献
6.
Summary. We analyze an infinite horizon model where a seller who owns an indivisible unit of a good for sale has incomplete information
about the state of the world that determines not only the demand she faces but also her own valuation for the good. Over time,
she randomly meets potential buyers who may have incentives to manipulate her learning process strategically. We show that
i) the seller's incentives to post a high price and to experiment are not necessarily monotonic in the information conveyed
by a buyer's rejection; and ii) as the discount factors tend to one, there are equilibria where the seller always ends up
selling the good at an ex-post individually rational price.
Received: January 6, 1999; revised version: July 15, 2000 相似文献
7.
Fabio Maccheroni 《Economic Theory》2002,19(4):823-831
Summary. Let be a continuous and convex weak order on the set of lotteries defined over a set Z of outcomes. Necessary and sufficient conditions are given to guarantee the existence of a set of utility functions defined on Z such that, for any lotteries p and q,
The interpretation is simple: a conservative decision maker has an unclear evaluation of the different outcomes when facing
lotteries. She then acts as if she were considering many expected utility evaluations and taking the worst one.
Received: January 19, 2000; revised version: December 20, 2000 相似文献
8.
Patrick Bajari 《Economic Theory》2001,18(1):187-205
Summary. Collusion is a serious problem in many procurement auctions. In this research, I study a model of first price sealed bid
procurement auctions with asymmetric bidders. I demonstrate that the equilibrium to the model is unique and describe three
algorithms that can be used to compute the inverse equilibrium bid functions. I then use the computational algorithms to compare
competitive and collusive bidding. The algorithms are useful for structural estimation of auction models and for assessing
the damages from bid-rigging.
Received: January 14, 2000; revised version: February 28, 2001 相似文献
9.
Summary. The paper investigates the nature of market failure in a dynamic version of Akerlof (1970) where identical cohorts of a durable
good enter the market over time. In the dynamic model, equilibria with qualitatively different properties emerge. Typically,
in equilibria of the dynamic model, sellers with higher quality wait in order to sell and wait more than sellers of lower
quality. The main result is that for any distribution of quality there exist an infinite number of cyclical equilibria where all goods are traded within a certain number of periods after entering the market.
Received: December 21, 2000; revised version: September 5, 2001 相似文献
10.
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
11.
Summary. In this paper we fully characterize an individual's choice behaviour according to three different so–called external references.
The first system which we describe axiomatically is standard utility maximization or preference optimization. The second approach
characterizes the choice of the second largest element as an optimal choice, the third system is the choice of a medium element,
also as a first best choice. For all three approaches, we have established a common axiomatic structure which allows us to
point out rather precisely congruences and divergences among the different systems considered.
Received: December 12, 1997; revised version: September 15, 1998 相似文献
12.
Summary. We provide a characterization of participants' behavior in a contest or tournament where the marginal productivity of effort
varies across contestants and individual productivity is private information. We then consider the optimal design of such
a contest.
We first analyze contestant behavior for the usual type of contest, where the highest output wins. Abilities need not be independently
distributed. We demonstrate that there is a unique symmetric equilibrium output function, that output is increasing in ability,
and that marginal effort is increasing in ability, while effort decreases when the cost of effort increases.
Next we consider the case where the highest output need not win, with independently distributed abilities. We analyze the
contest designer's decisions in choosing contest rules optimal from her perspective. We show that the output produced, probability
of winning, and contest designer's expected revenue are generally increasing in contestants' ability. We examine the relationship
between the marginal cost of producing output and marginal utility per dollar of the net award for winning.
Received: July 30, 1998; revised version: August 7, 2000 相似文献
13.
Roman Inderst 《Economic Theory》2003,22(2):419-429
Summary. This paper considers bargaining with one-sided private information and alternating offers where an agreement specifies both
a transfer and an additional (sorting) variable. Moreover, both sides can propose menus. We show that for a subset of parameters
the alternating-offer game has a unique equilibrium where efficient contracts are implemented in the first period. This stands
in sharp contrast to the benchmarks of contract theory, where typically only the uninformed side proposes, and bargaining
theory, where typically the agreement only specifies a transfer.
Received: September 10, 2001; revised version: March 25, 2002
RID="*"
ID="*" I benefitted from discussions with Benny Moldovanu, Holger Müller, and Roland Strausz, and from comments made by an
anonymous referee. 相似文献
14.
Summary. The paper constructs a theoretical framework in which the value of information in general equilibrium is determined by the
interaction of two opposing mechanisms: first, more information about future random events leads to better individual decisions
and, therefore, higher welfare. This is the ‘Blackwell effect’ where information has positive value. Second, more information
in advance of trading limits the risk sharing opportunities in the economy and, therefore, reduces welfare. This is the ‘Hirshleifer
effect’ where information has negative value. We demonstrate that in an economy with production information has positive value
if the information refers to non-tradable risks; hence, such information does not destroy the Blackwell theorem. Information
which refers to tradable risks may invalidate the Blackwell theorem if the consumers are highly risk averse. The critical
level of relative risk aversion beyond which the value of information becomes negative is less than 0.5.
Received: May 14, 2001; revised version: March 5, 2002 相似文献
15.
Parametric characterizations of risk aversion and prudence 总被引:1,自引:0,他引:1
Summary. Our first main result says that whether one decision maker is more risk averse than another can be determined from their
attitudes toward a given two-parameter family of risks. When all risks belong to this family, risk aversion can be compared
even when initial wealth is random. Our second main result solves a long-standing problem in mean-variance analysis: what
is the interpretation of the concavity of utility as a function of mean and variance? We show that in the case of normal distributions,
this utility function is concave if and only if the agent has decreasing prudence.
Received: July 29, 1996; revised: October 2, 1998 相似文献
16.
Summary. We model credit contracting and bidding in a first-price sealed-bid auction when bidder valuation and wealth are private
information. An efficient separating equilibrium exists only if the wealth levels of both bidder types are sufficiently different.
If not, high-valuation bidders signal by borrowing more and using less of their wealth – this is inefficient as wealth is
a cheaper source of funds. An increase in the amount of borrowing required to signal does not necessarily decrease seller
expected revenue. In contrast to separating equilibria, high-valuation bidders adopt pure strategy bids in pooling equilibria.
Conditions are identified under which the lower bound on winning bids is higher in pooling than separating equilibria.
Received: January 22, 2001; revised version: August 28, 2001 相似文献
17.
This paper extends the classical capital structure model by introducing the output of firm with ‘AK’ production technology dynamically depends on the endogenous investment decision and capital accumulation. Based on our calibration, it shows that the flexibility of dynamic investment and capital accumulation induces the firm to take the lower leverage at financing time and makes the leverage estimate closer to empirically observed leverage ratios, which provides an effective explanation for the ‘under-leverage puzzle’. In addition, this model predicts that the market leverage behaves in a U-shaped manner with capital liquidity, which provides a novel empirical test. 相似文献
18.
Summary. This note provides an alternative proof for the equivalence of decreasing absolute prudence (DAP) in the expected utility
framework and in a two-parametric approach where utility is a function of the mean and the standard deviation. In addition,
we elucidate that the equivalence of DAP and the concavity of utility as a function of mean and variance, which was shown
to hold for normally distributed stochastics in Lajeri and Nielsen [4], cannot be generalized.
Received: November 27, 2000; revised version: November 26, 2001
Correspondence to: T. Eichner 相似文献
19.
Summary. The paper analyzes the properties of cores with differential information, as economies converge to complete information.
Two core concepts are investigated: the private core, in which agents' net trades are measurable with respect to agents' private
information, and the incentive compatible core, in which coalitions of agents are restricted to incentive compatible allocations.
Received: March 15, 2000; revised version: August 24, 2000 相似文献
20.
Thorsten Bayındır-Upmann 《Economic Theory》2002,20(3):629-636
Summary. We generalize the formula provided by Maurice and Ferguson (1973) for derived factor demand in a monopoly by extending it
to cross-price effects and taking into account other variables which may, within an general-equilibrium framework, affect
demand, such as income. Hopefully, both features increase the applicability of this formula in general-equilibrium analyses.
Received: April 5, 2000; revised version: June 7, 2001 相似文献