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.

Diskussionspapier | 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
Band
456
Seite(n)
49
ISSN
0931-6558
Page URI
https://pub.uni-bielefeld.de/record/2900978

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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, 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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