Journal of Economic Theory
Опубликовано на портале: 25-10-2007
Philippe 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: 11-11-2004
Andreu 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 [1995]) and regret-matching (Hart and
Mas-Colell [1998]) 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: 31-03-2003
Bruno 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: 22-01-2007
Roger 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: 12-05-2004
Ariel 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: 01-10-2003
Dilip 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: 14-02-2005
Michele 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: 19-11-2007
Tommy 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: 01-11-2007
Stephanie 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: 30-01-2007
Drew 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: 31-01-2007
David 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: 31-03-2003
Val 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: 12-05-2004
Val 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: 31-03-2003
Stephen 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: 13-10-2004
Donald 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.

