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1.
Jan Wenzelburger 《Economic Theory》2002,19(4):649-672
Summary. This paper develops an adaptive learning scheme for a standard version of the OLG model with pure exchange. Perfect forecasting
rules which generate perfect foresight orbits are approximated by cubic spline functions. These approximations are successively
constructed using historical data only. Trajectories generated by this scheme converge to perfect foresight orbits globally
for all initial conditions. This result holds for all parameterizations guaranteeing the existence of a monetary steady state
and hence is independent of consumers' savings behavior. It generalizes to all one-dimensional models of the Cobweb type.
Received: October 5, 2000; revised version: February 15, 2001 相似文献
2.
Summary. In a game with rational expectations, individuals simultaneously refine their information with the information revealed by
the strategies of other individuals. At a Nash equilibrium of a game with rational expectations, the information of individuals
is essentially symmetric: the same profile of strategies is also an equilibrium of a game with symmetric information; and
strategies are common knowledge. If each player has a veto act, which yields a minimum payoff that no other profile of strategies
attains, then the veto profile is the only Nash equilibrium, and it is is an equilibrium with rational expectations and essentially
symmetric information; which accounts for the impossibility of speculation.
Received: June 20, 2001; revised version: January 9, 2002
RID="*"
ID="*" We wish to thank Pierpaolo Battigalli, Fran?oise Forges, Franco Donzelli, Leonidas Koutsougeras, Aldo Rustichini, Rajiv
Vohra and Nicholas Yannelis for their comments.
Correspondence to: H. Polemarchakis 相似文献
3.
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
4.
Maurizio Motolese 《Economic Theory》2001,18(1):97-126
Summary. In Rational Beliefs Equilibria money is generically non-neutral. Given the expectational perspective proposed by the Theory
of Rational Belief Equilibrium, we show that one of the most important factors in the emergence of money non-neutrality is
played by Endogenous Uncertainty. This, in contrast to the Rational Expectations results of money neutrality and policy ineffectiveness, leads to a scenario
in which monetary policy has an impact on the real economy and price volatility. The heterogeneity of beliefs together with
the distribution and intensity of agents' states of optimism/pessimism can amplify the real effect of monetary policy and/or
generate endogenous fluctuations in the economy which are not explained by any exogenous shock. We claim that money non-neutrality
is mostly an expectations driven phenomenon. Indeed, additional assumptions of asymmetry of information and/or unanticipated
monetary policy are not needed to explain the real effect of monetary policy as it is customary in the New Classical Theory.
Received: May 30, 2000; revised version: December 28, 2000 相似文献
5.
Frank Riedel 《Economic Theory》2003,21(4):929-934
Summary. In infinite horizon economies only local equivalence of beliefs is needed to ensure the existence of an Arrow–Debreu equilibrium. In fact, agents can even disagree completely in the long run in the sense that asymptotically, their beliefs are singular. Received: November 3, 2000; revised version: February 13, 2002 相似文献
6.
Contractual restrictions on insider trading: a welfare analysis 总被引:4,自引:0,他引:4
Antonio E. Bernardo 《Economic Theory》2001,18(1):7-35
Summary. This paper analyzes the welfare effects of permitting firms to negotiate contractually the right to allow corporate insiders to trade shares in the firm on private information. A computational framework is employed to (i) analyze formally the effects of insider trading on managerial investment choice, the informational efficiency of stock prices, and the welfare of all investor types; and (ii) examine the effectiveness of various compensation schemes (such as stock and insider trading rights) to mitigate conflicts of interest between managers and shareholders. I show that shareholders will typically choose not to grant insider trading rights to managers. This decision is socially optimal. Received: September 23, 2000; revised version: December 12, 2000 相似文献
7.
Summary. We present a parametric learning model of players' dynamic and possibly out-of-equilibrium beliefs about other players' preferences
that also incorporates random utility (noise). We estimate the model using the data from the four-country ultimatum game experiments
of Roth et al. (1991). We find evidence that in the US and in Israel, the estimated beliefs of proposers are stationary and
out-of-equilibrium, that in Slovenia, they are in equilibrium, and that in Japan, they are out-of-equilibrium, change from
period to period and move away from equilibrium over time. In Japan and in the US, the estimated proposers' beliefs are further
away from the uniform prior than the estimated equilibrium beliefs. The results seem to provide support for a non-pecuniary
payoff explanation in all countries.
Received: May 16, 2000; revised version: December 15, 2001
RID="*"
ID="*" We thank Alvin Roth for providing us with the data sets of Roth, Prasnikar, Okuno-Fujiwara, and Zamir (1991). We are
very grateful to Vincent Crawford, Joel Sobel, and an anonymous referee for all their comments and feedback. We are also grateful
to J?rg Borrmann, Bruno Broseta, Jimmy Chan, Liran Einav, Bernd Engelmann, Drew Fudenberg, Oscar Jorda, Muriel Niederle, Pedro
Pereira, Georg Weizs?cker, and audiences at the California Institute of Technology, Harvard University, Universidade Nova
de Lisboa, University of Nevada, Las Vegas, and at the European Summer Meetings of the Econometric Society in Lausanne for
their comments. Costa-Gomes was affiliated with the Harvard Business School during part of his work on this project. The usual
disclaimer applies.
Correspondence to:M.A. Costa-Gomes and K.G. Zauner 相似文献
8.
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
9.
Rationalizable variable-population choice functions 总被引:1,自引:0,他引:1
Summary. We analyze the rationalizability of variable-population social-choice functions in a welfarist framework. It is shown that
fixed-population rationalizability and a weakening of congruence together are necessary and sufficient for rational choice,
given a plausible dominance property that prevents the choice of alternatives involving low utility levels. In addition, a
class of critical-level separable choice functions is characterized. This result, which extends an earlier axiomatization
of a related class of bargaining solutions to a variable-population setting, is the first axiomatization of critical-level
principles in a general choice-theoretic model.
Received: November 30, 1999; revised version: September 11, 2000 相似文献
10.
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
11.
Prabal Roy Chowdhury 《Economic Theory》1999,14(2):393-415
Summary. We consider a non-cooperative assignment model where we show that any subgame perfect equilibrium is stable, and that an appropriate refinement criterion leads to the p-optimal outcome. We then consider a model with reneging and derive some interesting properties of this game. We show that in this case ‘unraveling’ may occur. Furthermore, the resulting outcome can be either stable, or unstable. Received: July 1, 1997; revised version: May 30, 1998 相似文献
12.
Alan Beggs 《Economic Theory》2002,19(2):379-405
Summary. This paper studies the extent to which diffusion approximations provide a reliable guide to equilibrium selection results
in finite games. It is shown that they do for a class of finite games with weak learning provided that limits are taken in
a certain order. The paper also shows that making mutation rates small does not in general select a unique equilibrium but
making selection strong does.
Received: January 19, 2000; revised version: September 25, 2000 相似文献
13.
Maurizio Motolese 《Economic Theory》2003,21(2-3):317-345
Summary. We study some implications of the Theory of Rational Beliefs to monetary policy. We show that monetary policy in a Rational
Beliefs environment can have an important effect on the characteristics of economic fluctuations. In Rational Beliefs Equilibria
money is generically non-neutral unlike Rational Expectations Equilibria in which money is neutral and monetary policy is
ineffective. Under Rational Beliefs Equilibria nominal prices and real output change not only in response to changes in the
exogenous growth rate of money but also in response to changes in the state of beliefs. In Rational Beliefs Equilibria monetary
shocks have real effects even when they are observed but are not fully anticipated. Furthermore, the non-neutrality of money
results in a short run Phillips curve. When money “flutters, real output sputters” [8]. We show that Endogenous Uncertainty and the distribution of market beliefs are the major explanatory variables of such fluctuations. Under Rational Expectations
monetary policy is ineffective because agents neutralize it by predicting correctly the effect of the policy. Under Rational
Beliefs it is shown instead that inflation and recessions can be substantially aggravated by the distribution of market beliefs.
Received: January 14, 2002; revised version: April 5, 2002
RID="*"
ID="*" I would like to thank Mordecai Kurz for his constant help and support. Most of the ideas developed hereby have been
inspired by innumerable and fruitful discussions with him. I have also greatly benefited from helpful comments by Stanley
Black, Luigi Campiglio, Carsten Nielsen and Ho-Mou Wu. I also received valuable remarks from participants at the V meeting
of “The Society for the Advancement of Economic Theory” held in Ischia, Italy, on July 2-8, 2001, where an initial draft of
the present work was presented. 相似文献
14.
Summary. This paper extends the work of Ray and Vohra [3]. It ascertains which partitions of players will emerge and what actions
will these players choose under each partition, when they can sign binding agreements and their actions have externalities.
The emphasis, however, is placed on situations with multiple outcomes and how agents behave in the presence of such multiplicity.
In particular, a deviating coalition considers all the likely outcomes that may prevail upon its deviation, and selects (if
possible) a subset of them. Three augmentations of Ray and Vohra's [3] solution concept are defined, capturing three distinct
behavioral assumptions. Efficiency of and the relation between the three notions are discussed.
Received: October 9, 2001; revised version: April 22, 2002
RID="*"
ID="*" I wish to thank Licun Xue, Joseph Greenberg and the participants of PET 2000 for very helpful suggestions. I am indebted
to an anonymous referee for his/her valuable comments. The paper has been previously circulated under the title Binding Agreements. 相似文献
15.
Konstantinos Serfes 《Economic Theory》2001,18(2):333-348
Summary. We study the process of learning in a differential information economy, with a continuum of states of nature that follow
a Markov process. The economy extends over an infinite number of periods and we assume that the agents behave non-myopically,
i.e., they discount the future. We adopt a new equilibrium concept, the non-myopic core. A realized agreement in each period
generates information that changes the underlying structure in the economy. The results we obtain serve as an extension to
the results in Koutsougeras and Yannelis (1999) in a setting where agents behave non-myopically. In particular, we examine
the following two questions: 1) If we have a sequence of allocations that are in an approximate non-myopic core (we allow
for bounded rationality), is it possible to find a subsequence that converges to a non-myopic core allocation in a limit full
information economy? 2) Given a non-myopic core allocation in a limit full information economy can we find a sequence of approximate
non-myopic core allocations that converges to that allocation?
Received: May 25, 1999; revised version: August 9, 1999 相似文献
16.
Summary. In models of active learning or experimentation, agents modify their actions to affect the distribution of a signal that
provides information about future payoffs. A standard result in the experimentation literature is that agents experiment,
if at all, to increase information. This finding is a direct consequence of Blackwell's theorem: one experiment is more informative than another
if and only if all expected utility maximizers prefer to observe the first. Blackwell's theorem presupposes, however, that
the observed signal only conveys information and does not directly affect future payoffs. Often, however, signals are directly
payoff relevant, a phenomenon that we call signal dependence. For example, if a firm is uncertain about its demand and uses today's sales as a signal of tomorrow's demand, then that
signal may also directly affect tomorrow's profit if the good is durable or if consumers form consumption habits. Datta, Mirman and Schlee [9] and
Bertocchi and Spagat [4] show that, if the signal is payoff relevant, experimentation may indeed reduce information. Here
we show that, despite the inapplicability of Blackwell's Theorem, agents always experiment to increase information if the
information structure is noiseless: given the true value of the unknown parameter, the signal realization is deterministic. We then apply our framework to analyze
Lazear's [16] model of retail clearance sales, a model with both signal dependence and noiseless information.
Received: February 19, 1999; revised version: August 11, 1999 相似文献
17.
Kofi O. Nti 《Economic Theory》1999,14(1):237-245
Summary. To determine how expenditure and profits vary with the number of firms in the patent race contest of Lee and Wilde, it is traditional to impose an ad-hoc stability condition on the best response function. This paper relates the stability condition to the standard myopic adjustment mechanism and shows that a concave hazard rate function with non- increasing hazard rate elasticity is sufficient for the analysis. We provide examples and reveal additional qualitative properties of the Lee and Wilde model. Received: November 15, 1996; revised version: March 25, 1998 相似文献
18.
Conformism and diversity under social learning 总被引:1,自引:0,他引:1
Summary. When there are competing technologies or products with unknown payoffs an important question is which technology will prevail
and whether technologies with different payoffs can coexist in the long run. In this paper, we use a social learning model
with local interactions to study this question. We show that the adoption of technologies as well as the prospects of conformism/diversity
depend crucially on the nature of interaction between individuals and the heterogeneity of preferences in a society.
Received: May 10, 1999; revised version: February 4, 2000 相似文献
19.
Summary. We use the theory of large deviations to investigate the large time behavior and the small noise asymptotics of random economic processes whose evolutions are governed by mean-reverting stochastic differential equations with (i) constant and (ii) state dependent noise terms. We explicitly show that the probability is exponentially small that the time averages of these process will occupy regions distinct from their stable equilibrium position. We also demonstrate that as the noise parameter decreases, there is an exponential convergence to the stable position. Applications of large deviation techniques and public policy implications of our results for regulators are explored. Received: December 7, 1998; revised version: October 25, 1999 相似文献
20.
Alfred Greiner 《Economic Theory》2003,21(1):205-214
Summary. The paper studies the local dynamics of an endogenous growth model with externalities of investment. It is demonstrated that, in case of sustained per capita growth, the competitve economy is characterized by a situation with a unique balanced growth path which is saddle point stable or by a situation with two balanced growth paths. If there are two balanced growth paths, the one with the higher growth rate is a saddle point whereas the path with the lower growth rate is either completely stable, with convergence to a rest point or limit cycle, or completely unstable. In the social optimum the existence of a balanced growth path implies that it is unique and that this path is a saddle point. Received: May 15, 2000; revised version: December 14, 2001 相似文献