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1.
This note demonstrates that a symmetric 3×3 supermodular game may fail to have any equilibrium robust to incomplete information. Since the global game solution in symmetric 3×3 supermodular games is known to be independent of the noise structure, this result implies that a noise-independent selection in global games may not be a robust equilibrium. Our proof reveals that the assumption in global games that the noise errors are independent of the state imposes a non-trivial restriction on incomplete information perturbations. 相似文献
3.
Alex Arenas Albert Díaz-Guilera Conrad J. Prez Fernando Vega-Redondo 《Journal of Economic Dynamics and Control》2002,26(12):641
This paper studies a stylized model of local interaction where agents choose from an ever increasing set of vertically ranked actions, e.g. technologies. The driving forces of the model are infrequent upward shifts (‘updates’), followed by a rapid process of local imitation (‘diffusion’). Our main focus is on the regularities displayed by the long-run distribution of diffusion waves and their implication on the performance of the system. By integrating analytical techniques and numerical simulations, we come to the following two main conclusions. (1) If non-coordination costs are sufficiently high, the system behaves critically, in the sense customarily used in physics. (2) The performance of the system is optimal at the frontier of the critical region. Heuristically, this may be interpreted as an indication that (performance-sensitive) evolutionary forces induce the system to be placed ‘at the edge of order and chaos’. 相似文献
4.
The contagion effect of foreclosed properties 总被引:1,自引:0,他引:1
Although previous research shows that prices of homes in neighborhoods with foreclosures are lower than those in neighborhoods without foreclosures, it remains unclear whether the lower prices are the result of a general decline in neighborhood values or whether foreclosures reduce the prices of nearby non-distressed sales through a contagion effect. We provide robust evidence of a contagion discount by simultaneously estimating the local price trend and the incremental price impact of nearby foreclosures. At its peak, the discount is roughly 1% per nearby foreclosed property. The discount diminishes rapidly as the distance to the distressed property increases. The contagion discount grows from the onset of distress through the foreclosure sale and then stabilizes. This pattern is consistent with the contagion effect being the visual externality associated with deferred maintenance and neglect. 相似文献
5.
This paper proposes a stochastic model of a bipartite credit network between banks and the non-bank corporate sector that encapsulates basic stylized facts found in comprehensive data sets for bank-firm loans for a number of countries. When performing computational experiments with this model, we find that it shows a pronounced non-linear behavior under shocks: the default of a single unit will mostly have practically no knock-on effects, but might lead to an almost full-scale collapse of the entire system in a certain number of cases. The dependency of the overall outcome on firm characteristics like size or number of loans seems fuzzy. Distinguishing between contagion due to interbank credit and due to joint exposures to counterparty risk via loans to firms, the later channel appears more important for contagious spread of defaults. 相似文献
6.
Inspired by the empirical findings, we include international traders to capture linkage between markets and propose a two-market heterogeneous agents model to simulate financial crisis with contagion effect. This paper manages to calibrate sudden crash behavior of US and UK stock markets during “Black Monday” of 1987 besides smooth crisis and disturbing crisis categorized in literature. It is implied that financial crisis and its contagion could be endogenous, which supports a scenario of over-valuation causing a financial crisis. In addition, the model shows that financial system could be fragile in which small shock(s) hitting individual market’s fundamental could cause financial crisis spreading to the other market. This also supports a scenario of external shock triggering a financial crisis. Lastly, to demonstrate the relevance of our model to financial markets, we manage to match typical stylized facts, especially cross-correlation which is exclusive to a multiple-market case. 相似文献
7.
We study the problem of interacting channels of contagion in financial networks. The first channel of contagion is counterparty failure risk; this is captured empirically using data for the Austrian interbank network. The second channel of contagion is overlapping portfolio exposures; this is studied using a stylized model. We perform stress tests according to different protocols. For the parameters we study neither channel of contagion results in large effects on its own. In contrast, when both channels are active at once, bankruptcies are much more common and have large systemic effects. 相似文献
8.
《Spatial Economic Analysis》2013,8(2):191-211
Abstract A spatial model is used to specify and then test for the existence of contagion among emerging market economies. We consider both trade and regional channels of contagion. Our results suggest that contagion is a statistically significant factor in foreign exchange markets and, furthermore, its effects are not uniform across the countries considered. Our results also suggest that trade links are significant channels of contagion transmission; on the other hand, geographic distances do not appear to be significant channels of contagion transmission. We also report results which indicate the extent of contagion. These results relate to effects which emanate from one country to another. Aspects spatiaux de la contagion parmi les économies émergentes Résumé?Nous faisons usage d'un modèle spatial pour spécifier, puis tester, l'existence d'une contagion parmi les économies des marchés émergents. Nous nous penchons sur les vecteurs commercial et régional de cette contagion. Nos résultats indiquent d'une part que la contagion est un facteur significatif sur le plan statistique dans les marchés à commerce extérieur, d'autre part que ses effets ne sont pas uniformes dans les pays examinés. Nos résultats nous permettent d'affirmer également que les relations commerciales sont des vecteurs significatifs de transmission de la contagion; par contre, les distances géographiques ne semblent pas être des vecteurs significatifs de transmission de la contagion. Nous présentons également des résultats qui soulignent l’étendue de la contagion: ces résultats portent sur les effets émanant d'un pays à un autre. Aspectos espaciales del contagio entre economias emergentes Résumén?Se utiliza un modelo espacial para especificar, y luego se comprueba la existencia de contagio entre las economías de mercados emergentes. Consideramos canales de contagio, tanto comerciales como regionales. Nuestros resultados sugieren que el contagio es un factor estadísticamente significativo en los mercados de divisas, así como que sus efectos no son uniformes a través de los países considerados. Nuestros resultados también sugieren que los lazos comerciales son canales significativos para la transmisión de contagio; por otra parte, las distancias geográficas no parecen ser canales significativos de transmisión de contagio. También incluimos resultados que indican la extensión del contagio. Dichos resultados se relacionan con efectos que emanan de un país a otro. 相似文献
9.
文章从进化博弈论的角度,借助局部相互作用模型,模拟演绎企业文化的动态发展过程,并据此提出企业文化建设新思路:企业文化建设的关键点是要让员工意识到,按公司企业文化建设方案要求的行为去做能给自己带来更大的利益。 相似文献
10.
文章分析了管理者胜任特征的模仿与替代机制,以及胜任特征与绩效的关系,讨论了模仿壁垒与可替代性威胁存在的作用.研究结论有利于企业的管理者基于胜任特征开展一系列的人力资源管理实践活动,诸如招募、选拔、培训、开发、激励等,这将对实现人力资源管理的有效性起到借鉴作用. 相似文献
11.
We study the evolution of imitation behaviour in a differentiated market where firms are located equidistantly on a (Salop) circle. Firms choose price and quantity simultaneously, leaving open the possibility for non-market-clearing outcomes. The strategy of the most successful firm is imitated. Behaviour in the stochastically stable outcome depends on the level of market differentiation and corresponds exactly with the Nash equilibrium outcome of the underlying stage game. For high level of differentiation, firms end up at the monopoly outcome. For intermediate level of differentiation, they gravitate to a “mutually non-aggressive” outcome where price is higher than the monopoly price. For low level of differentiation, firms price at a mark-up above the marginal cost. Market-clearing always results endogenously. 相似文献
12.
This paper examines the spillover effects of infill developments, which involve developing vacant or under-used parcels within existing urban areas that are largely developed, on local housing prices. Employing a difference-in-difference specification on a sample of 275 new developments and 55,887 sale transactions of houses in Singapore, we find that infill developments have a positive and persistent impact on local housing prices. The contagion effect is larger for infill developments that are built on teardown sites. The spillover effect can also be traced to the overpricing of new homes by developers. Overall, the evidence indicates that developers act as price leaders and contribute significantly to price discovery in the local housing market. 相似文献
13.
随着经济全球化的深化,随着我国整个金融体系开放程度的加深,任何来自国际金融市场的危机都可能对我国商业银行体系造成灾难性冲击,本文从分析银行危机跨国传染的路径着手,提出了我国防范国际金融危机传染的对策和建议,以期为我国银行体系的改革提供新的思路。 相似文献
14.
Augusto Hasman 《Journal of economic surveys》2013,27(5):978-995
The recent financial crisis has focused the attention of scholars and policymakers on how to improve financial stability through better macro‐prudential regulation and supervision. In this paper, we compare the existing theoretical and empirical literature on contagion through the banking system. It is argued that the structure of the interbank market, the size of banks, the linkages among them, the level of correlation of their investments and the transparency of the regulator are key factors in determining the possibility of contagion. We discuss the different findings and present avenues for future research. 相似文献
15.
This study examines the properties of equilibrium, including the stability, of discrete-space agglomeration models with social interactions. The findings reveal that while the corresponding continuous-space model has a unique equilibrium, the equilibrium in discrete space can be non-unique for any finite degree of discretization by characterizing the discrete-space model as a potential game. Furthermore, it indicates that despite the above result, any sequence of discrete-space models’ equilibria converges to the continuous-space model’s unique equilibrium as the discretization of space is refined. 相似文献
16.
17.
A Primer on Financial Contagion 总被引:8,自引:0,他引:8
Abstract. This paper presents a theoretical framework to highlight possible channels for the international transmission of financial shocks. We first review the different definitions and measures of contagion adopted by the literature. We then use a simple multi-country asset pricing model to classify the main elements of the current debate on contagion and provide a stylized account of how a crisis in one country can spread to the world economy. In particular, the model shows how crises can be transmitted across countries, without assuming ad hoc portfolio management rules or market imperfections. Finally, tracking our classification, we survey the results of the empirical literature on contagion. 相似文献
18.
Consider a group of agents embedded in a network, repeatedly playing a game with their neighbors. Each agent acts locally but through the links of the network local decisions percolate to the entire population. Past research shows that such a system converges either to an absorbing state (a fixed distribution of actions that once attained does not change) or to an absorbing set (a set of action distributions that may cycle in finite populations or behave chaotically in unbounded populations). In many network games, however, it is uncertain which situation emerges. In this paper I identify two fundamental network characteristics, boundary consistency and neighborhood overlap, that determine the outcome of all symmetric, binary-choice, network games. In quasi-consistent networks these games converge to an absorbing state regardless of the initial distribution of actions, and the degree to which neighborhoods overlap impacts the number and composition of those absorbing states. 相似文献
19.
In this paper, we establish a convergence result for equilibria in systems of social interactions with many locally and globally interacting players. Assuming spacial homogeneity and that interactions between different agents are not too strong, we show that equilibria of systems with finitely many players converge to the unique equilibrium of a benchmark system with infinitely many agents. We prove convergence of individual actions and of average behavior. Our results also apply to a class of interaction games. 相似文献
20.
Eelke de Jong Willem F.C. Verschoor Remco C.J. Zwinkels 《Journal of Economic Dynamics and Control》2009,33(11):1929-1944
In this paper, we propose an empirical model based on the heterogeneous agents literature. Price changes are induced by fundamental, technical, and international factors. The model is estimated for Hong Kong and Thailand surrounding the Asian crisis. We find that the three sources are relevant and that their relative price impact fluctuates conditional on price impact in the previous period. Results imply that the crisis is triggered in Thailand due to an increased focus on the fundamental price, followed by an increase in chartism and finally aggravated by a focus on foreign developments. Furthermore, the crisis deepens in Hong Kong because of increased attention for foreign markets. 相似文献