Tractable dynamic global games and applications

0420864 - NHU-C 2014 RIV US eng J - Článek v odborném periodiku
Mathevet, L. - Steiner, Jakub
Tractable dynamic global games and applications.
Journal of Economic Theory. Roč. 148, č. 6 (2013), s. 2583-2619. ISSN 0022-0531. E-ISSN 1095-7235
Grant CEP: GA ČR(CZ) GA13-34759S
Grant ostatní: UK(CZ) UNCE 204005/2012
Institucionální podpora: PRVOUK-P23
Klíčová slova: global games * dynamic game * coordination
Kód oboru RIV: AH - Ekonomie
Impakt faktor: 0.919, rok: 2013

We present a family of tractable dynamic global games and its applications. Agents privately learn about a fixed fundamental, and repeatedly adjust their investments while facing frictions. The game exhibits many externalities: payoffs may depend on the volume of investment, on its volatility, and on its concentration. The solution is driven by an invariance result: aggregate investment is (in a pivotal contingency) invariant to a large family of frictions. We use the invariance result to examine how frictions, including those similar to the Tobin tax, affect equilibrium. We identify conditions under which frictions discourage harmful behavior without compromising investment volume.
Trvalý link: http://hdl.handle.net/11104/0227443