Journal of Economic Theory
Опубликовано на портале: 25-10-2007Philippe Aghion, Philippe Bacchetta, Abhijit Banerjee Journal of Economic Theory. 2004. Vol. 119. No. 1. P. 6-30.
This paper presents a general equilibrium currency crisis model of the 'third generation', in which the possibility of currency crises is driven by the interplay between private firms' credit-constraints and nominal price rigidities. Despite our emphasis on microfoundations, the model remains sufficiently simple that the policy analysis can be conducted graphically. The analysis hinges on four main features: i) ex post deviations from purchasing power parity; ii) credit constraints a la Bernanke-Gertler; iii) foreign currency borrowing by domestic firms; iv) a competitive banking sector lending to firms and holding reserves and a monetary policy conducted either through open market operations or short-term lending facilities. We first show that with a positive likelihood of a currency crisis, firms may indeed find it optimal to borrow in foreign currency, following Chamon (2001). Second, we derive sufficient conditions for the existence of a sunspot equilibrium with currency crises. Third, we show that a reduction in the monetary base through restrictive open market operations is more likely to eliminate the possibility of currency crises if at the same time the central bank does not impose excessive constraints on short-term lending facilities
Опубликовано на портале: 11-11-2004Andreu Mas-Colell, Sergiu Hart Journal of Economic Theory. 2001. Vol. 98. No. 1 (5). P. 26-54.
We exhibit and characterize an entire class of simple adaptive strategies, in the repeated play of a game, having the Hannan-consistency property: In the long-run, the player is guaranteed an average payoff as large as the best-reply payoff to the empirical distribution of play of the other players; i.e., there is no "regret." Smooth fictitious play (Fudenberg and Levine ) and regret-matching (Hart and Mas-Colell ) are particular cases. The motivation and application of this work come from the study of procedures whose empirical distribution of play is, in the long-run, (almost) a correlated equilibrium. The basic tool for the analysis is a generalization of Blackwell's [1956a] approachability strategy for games with vector payoffs.
Опубликовано на портале: 31-03-2003Bruno Solnik Journal of Economic Theory. 1974. Vol. 8. No. 4. P. 500-24.
Presents an equilibrium model for the international capital market. Hypothesis on security price behavior; Development of intertemporal model of the international capital market based on Sharpe-Lintner-Mossin Capital Asset Pricing Model; Derivation of a mutual fund theorem. (Из Ebsco)
Опубликовано на портале: 22-01-2007Roger B. Myerson, Mark A. Satterthwaite Journal of Economic Theory. 1981. Vol. 29. No. 2.
We consider bargaining problems between one buyer and one seller for a single object. The seller's valuation and the buyer's valuation for the object are assumed to be independent random variables, and each individual's valuation is unknown to the other. We characterize the set of allocation mechanisms that are Bayesian incentive compatible and individually rational, and show the general impossibility of ex post efficient mechanisms without outside subsidies. For a wide class of problems we show how to compute mechanisms that maximize expected total gains from trade, and mechanisms that can maximize a broker's expected profit.
Опубликовано на портале: 12-05-2004Ariel Rubinstein Journal of Economic Theory. 1979. Vol. 21. P. 1-9.
Discusses the equilibrium in supergames with evaluation relations determined according to overtaking criterion. Differences between the situation of players undertaking to play a single game, and players who know that they will play the same game repeatedly in the future; Influence of the power of the threats on the existence of equilibrium points.
Опубликовано на портале: 01-10-2003Dilip Abreu Journal of Economic Theory. 1986. Vol. 39. No. 1. P. 191-225.
Establishes a general proposition applied in the analysis of optimal punishments and constrained Pareto optimal paths of symmetric oligopolistic supergames. Two-dimensional characterization of optimal symmetric punishments; Analogous result holding for the general case of asymmetric punishments.
Factor Saving Innovation [статья]
Опубликовано на портале: 14-02-2005Michele Boldrin, David Knudsen Levine Journal of Economic Theory. 2002. Vol. 105. No. 1. P. 18-41.
It has been argued that concave models exhibit less "endogeneity of growth" than models with increasing returns to scale. Here we study a simple model of factor saving technological improvement in a concave framework. Capital can be used either to reproduce itself, or, at some additional cost, to produce a higher quality of capital, which requires less labor input. If better quality capital can be produced quickly, we get a model of exogenous balanced growth as a special case of ours. If, however, better quality capital can be produced slowly, we get a model of "endogenous growth" in which the growth rate of the economy and the rate of adoption of new technologies is determined by preferences, technology and initial conditions. Moreover, in the latter case, the process of growth is necessarily uneven, exhibiting a natural cycle with alternating periods of high and slow growth. Growth paths and technological innovations also exhibit dependence upon initial conditions. The model provides a step toward a theory of endogenous innovation under conditions of perfect competition.
Опубликовано на портале: 19-11-2007Tommy Sveen, Lutz Weinke Journal of Economic Theory. 2007. Vol. 136. No. 1. P. 729-737.
In the presence of firm-specific capital the Taylor principle can generate multiple equilibria. Sveen and Weinke [New perspectives on capital, sticky prices, and the Taylor principle, J. Econ. Theory 123 (2005) 21–39] obtain that result in the context of a Calvo-style sticky price model. One potential criticism is that the price stickiness which is needed for our theoretical result to be relevant from a practical point of view is somewhat to the high part of available empirical estimates. In the present paper we show that if nominal wages are not fully flexible (which is an uncontroversial empirical fact) then the Taylor principle fails already for some minor degree of price stickiness. We use our model to explain the consequences of both nominal rigidities for the desirability of alternative interest rate rules.
Опубликовано на портале: 01-11-2007Stephanie Schmitt-Grohe, Martin Uribe Journal of Economic Theory. 2004. Vol. 114. No. 2. P. 198–230 .
This paper studies optimal fiscal and monetary policy under sticky product prices. The theoretical framework is a stochastic production economy. The government finances an exogenous stream of purchases by levying distortionary income taxes, printing money, an issuing nominal non-state-contingent bonds. The main findings of the paper are: First, for a miniscule degree of price stickiness (i.e., many times below available empirical estimates) the optimal volatility of inflation is near zero. Second, small deviations from full price flexibility induce near random walk behavior in government debt and tax rates. Finally, price stickiness induces deviation from the Friedman rule.
Опубликовано на портале: 30-01-2007Drew Fudenberg, Jean Tirole Journal of Economic Theory. 1991. Vol. 53. No. 2. P. 236-260.
We introduce a formal definition of perfect Bayesian equilibrium (PBE) for multi-period games with observed actions. In a PBE, (P) the strategies form a Bayesian equilibrium for each continuation game, given the specified beliefs, and (B) beliefs are updated from period to period in accordance with Bayes rule whenever possible, and satisfy a “no-signaling-what-you-don't-know” condition. PBE is equivalent to sequential equilibrium if each player has only two types, or there are only two periods, but differs otherwise. Equivalence is restored by requiring that (B) apply to the relative probabilities of types with posterior probability zero.
Reputation and Imperfect Information [статья]
Опубликовано на портале: 31-01-2007David M. Kreps, Robert B. Wilson Journal of Economic Theory. 1982. Vol. 27. No. 2. P. 253-279.
A common observation in the informal literature of economics (and elsewhere) is that is multistage games, players may seek early in the game to acquire a reputation for being tough or benevolent or something else. But this phenomenon is not observed in some formal game-theoretic analyses of finite games, such as Selten's finitely repeated chain-store game or in the finitely repeated prisoners' dilemma. We reexamine Selten's model, adding to it a small amount of imperfect (or incomplete) information about players' payoffs, and we find that this addition is sufficient to give rise to the reputation effect that one intuitively expects.
Опубликовано на портале: 31-03-2003Val E. Lambson Journal of Economic Theory. 1984. Vol. 34. No. 2. P. 282-91.
Examines the self-enforcing collusion in large dynamic market. Mechanics of a folk theorem in game theory; Description of the theory of oligopoly by Cournot; Effect of increase in demand and competitive equilibria among firms on the applicability of the folk theorem. (From Ebsco)
Опубликовано на портале: 12-05-2004Val E. Lambson Journal of Economic Theory. 1984. Vol. 34. No. 2. P. 282-291.
Examines the self-enforcing collusion in large dynamic market. Mechanics of a folk theorem in game theory; Description of the theory of oligopoly by Cournot; Effect of increase in demand and competitive equilibria among firms on the applicability of the folk theorem.
Опубликовано на портале: 31-03-2003Stephen A. Ross Journal of Economic Theory. 1976. Vol. 13. No. 3. P. 341-60 .
Examines the arbitrage model of capital asset pricing as an alternative to the mean variance capital asset pricing model introduced by Sharpe, Lintner and Treynor. Overview of the arbitrage theory; Role of the arbitrage model in explaining phenomena observed in capital markets for risky assets; Influence of the presence of noise on the pricing relation. (Из Ebsco)
Опубликовано на портале: 13-10-2004Donald J. Brown, Abraham Robinson Journal of Economic Theory. 1974. Vol. 9. P. 245-254.
Examines the core approaches of standard exchange economy. Impact of the increase in number of traders on approaches; Relationship of core and the set of competitive equilibria for very large replications; Importance of nonstandard analysis.