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Information and Volatility
Bergemann, Dirk; Heumann, Tibor; Morris, Stephen - Cowles Foundation for Research in Economics, Yale University - 2013
In an economy of interacting agents with both idiosyncratic and aggregate shocks, we examine how the structure of private information influences aggregate volatility. The maximal aggregate volatility is attained in a noise free information structure in which the agents confound idiosyncratic and...
Persistent link: https://www.econbiz.de/10010938545
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Robust Predictions in Games with Incomplete Information
Bergemann, Dirk; Morris, Stephen - Cowles Foundation for Research in Economics, Yale University - 2011
We analyze games of incomplete information and offer equilibrium predictions which are valid for, and in this sense robust to, all possible private information structures that the agents may have. The set of outcomes that can arise in equilibrium for some information structure is equal to the...
Persistent link: https://www.econbiz.de/10010686938
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Robust Predictions in Games with Incomplete Information
Bergemann, Dirk; Morris, Stephen - Cowles Foundation for Research in Economics, Yale University - 2011
We analyze games of incomplete information and offer equilibrium predictions which are valid for, and in this sense robust to, all possible private information structures that the agents may have. We completely characterize the set of Bayes correlated equilibria in a class of games with...
Persistent link: https://www.econbiz.de/10010686940
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Information and Volatility
Bergemann, Dirk; Heumann, Tibor; Morris, Stephen - Cowles Foundation for Research in Economics, Yale University - 2013
In an economy of interacting agents with both idiosyncratic and aggregate shocks, we examine how the information structure determines aggregate volatility. We show that the maximal aggregate volatility is attained in a noise free information structure in which the agents confound idiosyncratic...
Persistent link: https://www.econbiz.de/10010817221
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Information, Interdependence, and Interaction: Where Does the Volatility Come From?
Bergemann, Dirk; Heumann, Tibor; Morris, Stephen - Cowles Foundation for Research in Economics, Yale University - 2013
We analyze a class of games with interdependent values and linear best responses. The payoff uncertainty is described by a multivariate normal distribution that includes the pure common and pure private value environment as special cases. We characterize the set of joint distributions over...
Persistent link: https://www.econbiz.de/10010895692
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Learning the state of nature in repeated games with incomplete information and signals
Renault, Jérôme; Tomala, Tristan - Université Paris-Dauphine (Paris IX) - 2004
The motivation of this paper comes from repeated games with incomplete information and imperfect monitoring. It concerns the existence, for any payoff function, of a particular equilibrium (called completely revealing) allowing each player to learn the state of nature. We consider thus an...
Persistent link: https://www.econbiz.de/10010708402
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The Value of Commitment in Auctions with Matching
Lamping, Jennifer - Volkswirtschaftliche Fakultät, … - 2008
optimal for the seller to do away with any matching considerations and allocate the contract on the basis of price alone. If … matching is sufficiently important to the seller, the optimal mechanism may be implemented without commitment. However, if … matching is not sufficiently important, the seller suffers a loss when he is unable to commit. The magnitude of this loss …
Persistent link: https://www.econbiz.de/10008490104
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Ignorance Is Bliss: Matching in Auctions with an Uninformed Seller
Lamping, Jennifer - Volkswirtschaftliche Fakultät, … - 2008
In many auctions, matching between the bidder and seller raises the value of the contract for both parties. However … depresses bids. The more matching matters, the greater the penalty associated with observing the matches. …
Persistent link: https://www.econbiz.de/10008532170
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Discrete Rule Learning and the Bidding of the Sexes
Shachat, Jason; Wei, Lijia - Wang Yanan Institute for Studies in Economics (WISE), … - 2013
We present a hidden Markov model of discrete strategic heterogeneity and learning in first price independent private …
Persistent link: https://www.econbiz.de/10010904020
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Information percolation in segmented markets
Duffie, Darrell; Malamud, Semyon; Manso, Gustavo - In: Journal of Economic Theory 153 (2014) C, pp. 1-32
trading opportunities. We characterize endogenous information acquisition and show how learning externalities affect …
Persistent link: https://www.econbiz.de/10011042991