Learning in Infinite Horizon Strategic Market Games with Collateral and Incomplete Information
Brangewitz S, Giraud G (2011) Working Papers. Institute of Mathematical Economics; 456.
Bielefeld: Center for Mathematical Economics.
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| Veröffentlicht | Englisch
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Autor*in
Brangewitz, SonjaUniBi;
Giraud, Gael
Abstract / Bemerkung
We study a strategic market game with finitely many traders, infinite horizon
and real assets. To this standard framework (see, e.g. Giraud and Weyers, 2004)
we add two key ingredients: First, default is allowed at equilibrium by means of
some collateral requirement for financial assets; second, information among players
about the structure of uncertainty is incomplete. We focus on learning equilibria,
at the end of which no player has incorrect beliefs — not because those players with
heterogeneous beliefs were eliminated from the market (although default is possible
at equilibrium) but because they have taken time to update their prior belief. We
then prove a partial Folk theorem `a la Wiseman (2011) of the following form: For any
function that maps each state of the world to a sequence of feasible and sequentially
strictly individually rational allocations, and for any degree of precision, there is a
perfect Bayesian equilibrium in which patient players learn the realized state with
precision and achieve a payoff close to the one specified for each state.
Stichworte
Strategic Market Games;
Infinite Horizon;
Incomplete Markets;
Collateral;
Incomplete Information
Erscheinungsjahr
2011
Serientitel
Working Papers. Institute of Mathematical Economics
Band
456
Seite(n)
49
ISSN
0931-6558
Page URI
https://pub.uni-bielefeld.de/record/2900978
Zitieren
Brangewitz S, Giraud G. Learning in Infinite Horizon Strategic Market Games with Collateral and Incomplete Information. Working Papers. Institute of Mathematical Economics. Vol 456. Bielefeld: Center for Mathematical Economics; 2011.
Brangewitz, S., & Giraud, G. (2011). Learning in Infinite Horizon Strategic Market Games with Collateral and Incomplete Information (Working Papers. Institute of Mathematical Economics, 456). Bielefeld: Center for Mathematical Economics.
Brangewitz, Sonja, and Giraud, Gael. 2011. Learning in Infinite Horizon Strategic Market Games with Collateral and Incomplete Information. Vol. 456. Working Papers. Institute of Mathematical Economics. Bielefeld: Center for Mathematical Economics.
Brangewitz, S., and Giraud, G. (2011). Learning in Infinite Horizon Strategic Market Games with Collateral and Incomplete Information. Working Papers. Institute of Mathematical Economics, 456, Bielefeld: Center for Mathematical Economics.
Brangewitz, S., & Giraud, G., 2011. Learning in Infinite Horizon Strategic Market Games with Collateral and Incomplete Information, Working Papers. Institute of Mathematical Economics, no.456, Bielefeld: Center for Mathematical Economics.
S. Brangewitz and G. Giraud, Learning in Infinite Horizon Strategic Market Games with Collateral and Incomplete Information, Working Papers. Institute of Mathematical Economics, vol. 456, Bielefeld: Center for Mathematical Economics, 2011.
Brangewitz, S., Giraud, G.: Learning in Infinite Horizon Strategic Market Games with Collateral and Incomplete Information. Working Papers. Institute of Mathematical Economics, 456. Center for Mathematical Economics, Bielefeld (2011).
Brangewitz, Sonja, and Giraud, Gael. Learning in Infinite Horizon Strategic Market Games with Collateral and Incomplete Information. Bielefeld: Center for Mathematical Economics, 2011. Working Papers. Institute of Mathematical Economics. 456.
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