经济学权威期刊Journal of Economic Theory 2023年第2期

Journal of Economic Theory 2023年第2期

 

 

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1.Evolutionary foundation for heterogeneity in risk aversion

风险规避异质性的进化基础

Yuval Heller, Ilan Nehama

We examine the evolutionary basis for risk aversion with respect to aggregate risk. We study populations in which agents face choices between alternatives with different levels of aggregate risk. We show that the choices that maximize the long-run growth rate are induced by a heterogeneous population in which the least and most risk-averse agents are indifferent between facing an aggregate risk and obtaining its linear and harmonic mean for sure, respectively. Moreover, approximately optimal behavior can be induced by a simple distribution according to which all agents have constant relative risk aversion, and the coefficient of relative risk aversion is uniformly distributed between zero and two.

我们从总体风险的角度考察了风险规避的进化基础。我们研究的群体中，行为者面临着不同程度的总风险的选择。我们证明，使长期增长率最大化的选择是由异质人口诱导的，其中风险厌恶程度最低和最高的个体分别在面对总风险和获得其线性和调和均值之间是无所谓的。此外，近似最优行为可以由一个简单的分布来诱导，根据该分布，所有主体都具有恒定的相对风险厌恶，相对风险厌恶系数均匀分布在0到2之间。

 

 

2.Mediated talk: An experiment

调解谈话:一个实验

Andreas Blume, Ernest K. Lai, Wooyoung Lim

We experimentally compare mediated (cheap) talk with direct (cheap) talk. Theory, guided by a characterization of equilibria in both environments, suggests that mediated talk has the potential to improve information sharing and welfare relative to direct talk. We sharpen the theory prediction by invoking Crawford's (2003) language-anchored level-k analysis. In the experiment, we find that mediated talk can indeed facilitate information transmission. We also find, however, that this requires that the language employed conforms with the mediation mechanism: mediation mechanisms improve information sharing for a variety of conforming languages, but fail to do so with a nonconforming language. These experimental findings match the predictions from the language-anchored level-k analysis. Strikingly, this is the case even when a whole array of alternative selection criteria (including iterative deletion of dominated strategies, strict equilibrium, Pareto efficiency, etc.) make a unique common prediction that sharply disagrees with the language-anchored level-k prediction.

我们实验地比较了间接(廉价)谈话和直接(廉价)谈话。以两种环境的平衡特征为指导的理论表明，与直接对话相比，中介对话有可能改善信息共享和福利。我们通过调用Crawford(2003)的语言锚定k级分析来增强理论预测。在实验中，我们发现中介谈话确实可以促进信息传递。然而，我们还发现，这要求所使用的语言与中介机制一致:中介机制改善了各种符合规范的语言的信息共享，但对于不符合规范的语言却无法做到这一点。这些实验结果与语言锚定水平k分析的预测相吻合。引人注目的是，即使当一系列备选选择标准(包括优势策略的迭代删除、严格均衡、帕累托效率等)做出一个独特的共同预测，与语言锚定的k级预测严重不一致时，情况也是如此。

 

 

3.Optimal orchestration of rewards and punishments in rank-order contests

排名竞赛中奖惩的最优编排

Bin Liu, Jingfeng Lu

We allow negative prizes and investigate effort-maximizing prize design in rank-order contests with incomplete information. Endogenous participation arises due to less-efficient types' incentive to avoid punishments. The optimum features winner-take-all for the best performer and at most one punishment for the worst performer among all potential contestants, whenever they enter the competition. Based on this, we then (1) provide a necessary and sufficient condition for the optimality of pure winner-take-all without punishment; and (2) show that the optimal entry threshold increases with the total number of contestants and converges to the Myerson cutoff in the limit. Finally, we characterize the optimal entry-dependent prize structure, allowing the prize sequence to vary with the number of entrants. The optimal design must entail endogenous entry, and it harmonically integrates both winner-take-all and egality.

我们允许负奖品，并研究在信息不完全的排序竞赛中努力最大化奖品设计。由于效率较低的类型有避免惩罚的动机，因此产生了内生参与。最优方案是表现最好的选手获得赢家通吃，而表现最差的选手在所有潜在选手参加比赛时最多受到一次惩罚。在此基础上，我们(1)给出了无惩罚的纯赢家通吃最优的充要条件;(2)表明，最优进入阈值随着参赛人数的增加而增加，并在极限处收敛于Myerson截断点。最后，我们描述了最佳的与进入者相关的奖项结构，允许奖项序列随着进入者的数量而变化。优化设计必须包含内生进入，它和谐地融合了赢家通吃和平等。

 

 

4.Optimal contingent delegation

最优或有委托

Tan Gan, Ju Hu, Xi Weng

This paper investigates a two-agent mechanism design problem without transfers, where the principal must decide one action for each agent. In our framework, agents only care about their own adaptation, and any deterministic dominant incentive compatible decision rule is equivalent to contingent delegation: the delegation set offered to one agent depends on the other's report. By contrast, the principal cares about both adaptation and coordination. We provide sufficient conditions under which contingent interval delegation is optimal and solve the optimal contingent interval delegation under fairly general conditions. Remarkably, the optimal interval delegation is completely determined by combining and modifying the solutions to a class of simple single-agent problems, where the other agent is assumed to report truthfully and choose his most preferred action.

本文研究了一个没有转移的双代理机制设计问题，其中委托人必须为每个代理决定一个动作。在我们的框架中，智能体只关心自己的适应性，任何确定性的主导激励兼容决策规则都等价于或有授权:提供给一个智能体的授权集取决于另一个智能体的报告。相比之下，校长既关心适应又关心协调。给出了或有区间委托最优的充分条件，并求解了一般条件下的最优或有区间委托。值得注意的是，最优区间委托完全是通过组合和修改一类简单单代理问题的解来确定的，其中另一个代理假设如实报告并选择他最喜欢的操作。

 

 

5.Legislative informational lobbying

立法信息游说

Arnaud Dellis

Whom should an interest group lobby in a legislature? I develop a model of informational lobbying, in which a legislature must decide on the allocation of district-specific goods and projects. An interest group chooses to search and provide information on districts' valuations of the goods. The setting is one of distributive politics, where the proposed allocation of goods and projects is endogenous to the information provided by the interest group. I characterize the information search strategy of the interest group. I furthermore establish that the relationship between informational lobbying and legislative majority requirement is non-monotonic. I also determine who gains and who loses from lobbying, identifying circumstances in which legislators would unanimously prefer to ban informational lobbying. Finally, I provide an informational rationale for why interest groups sometimes lobby legislative allies (friendly lobbying).

利益集团应该在立法机构游说谁?我开发了一种信息游说模式，在这种模式下，立法机构必须决定特定地区商品和项目的分配。一个利益集团选择搜索和提供有关地区对商品的估价的信息。这是一种分配政治，其中提议的商品和项目分配是由利益集团提供的信息所内生的。我描述了兴趣群体的信息搜索策略。我进一步证明了信息游说与立法多数要求之间的关系是非单调的。我还确定谁从游说中获益，谁从游说中损失，确定立法者一致倾向于禁止信息游说的情况。最后，我提供了一个信息的基本原理，为什么利益集团有时游说立法盟友(友好游说)。

 

 

6.The Luce model with replicas

带有复制品的卢斯模型

José Heleno Faro

We propose the notion of replicas in the context of discrete choices and introduce axioms that characterize the Luce model with replicas. This model does not fall prey to the well-known “red bus-blue bus” example originally proposed by Debreu (1960) and later made famous by McFadden. Our model satisfies regularity, strong stochastic transitivity, and is a random utility model. Due to its simplicity, this model is more parsimonious than others aimed at overcoming the “duplicates problem”.

我们在离散选择的背景下提出了副本的概念，并引入了带有副本的Luce模型的特征公理。这个模型不像Debreu(1960)最初提出的著名的“红巴士-蓝巴士”模型那样，后来由McFadden推广开来。该模型满足正则性，具有较强的随机传递性，是一种随机实用新型。由于其简单性，该模型比其他旨在克服“重复问题”的模型更加节俭。

 

 

7.On the foundations of competitive search equilibrium with and without market makers

在有无做市商的竞争搜索均衡的基础上

James Albrecht, Xiaoming Cai, Pieter Gautier, Susan Vroman

The literature offers two interpretations of competitive search equilibrium, one based on a Nash approach and the other on a market-maker approach. When each buyer visits only one seller, the two approaches are equivalent. However, when each buyer visits multiple sellers, this equivalence can break down. We present a model in which every buyer visits 2 sellers. A buyer who trades with one seller receives a value of s, while a buyer who trades with 2 sellers receives value 1. Letting s vary from 0 (perfect complements) to 1 (perfect substitutes) we characterize the competitive search equilibrium under the two interpretations. We show that for low values of s, the Nash and market-maker competitive search equilibria coincide, but the common equilibrium is inefficient. For intermediate values of s, the two equilibria again coincide and are efficient. Finally, for high values of s, the Nash and market-maker equilibria differ, and only the latter is efficient.

文献对竞争搜索均衡提供了两种解释，一种基于纳什方法，另一种基于做市商方法。当每个买家只拜访一个卖家时，这两种方法是等价的。然而，当每个买家访问多个卖家时，这种等价性就会被打破。我们提出了一个模型，每个买家访问2个卖家。与一个卖家交易的买家得到的价值是s，而与两个卖家交易的买家得到的价值是1。设s从0(完全互补)到1(完全替代)，我们描述了两种解释下的竞争搜索均衡。我们证明，当s值较低时，纳什均衡和做市商竞争搜索均衡重合，但普通均衡是无效的。对于s的中间值，两个平衡再次重合并且有效。最后，对于高s值，纳什均衡和做市商均衡是不同的，只有后者是有效的。

 

 

8.Rational inattention in the frequency domain

频域的理性疏忽

Kyle Jurado

This paper solves a dynamic rational inattention problem by formulating it in the frequency domain. The main result is a rational inattention version of the classical Wiener-Kolmogorov filter. This filter permits an infinite-dimensional state vector, provides a new line of attack for obtaining closed-form solutions, and can be implemented numerically using a simple iterative algorithm. The frequency-domain approach also sheds new light on why rational inattention produces forward-looking behavior: inattentive agents are willing to accept more uncertainty about the timing of disturbances in exchange for less uncertainty about fluctuations at the most important frequencies.

本文通过在频域中建立有理不注意问题的表达式来解决动态有理不注意问题。主要结果是经典维纳-柯尔莫戈罗夫滤波器的理性不注意版本。该滤波器允许无限维的状态向量，为获取闭合形式的解提供了新的攻击线，并可以使用简单的迭代算法进行数值实现。频域方法还揭示了为什么理性的不注意会产生前瞻性行为:不注意的个体愿意接受更多关于干扰时间的不确定性，以换取更少关于最重要频率波动的不确定性。

 

 

9.Renegotiation and dynamic inconsistency: Contracting with non-exponential discounting

再协商与动态不一致:非指数折扣契约

Doruk Cetemen, Felix Zhiyu Feng, Can Urgun

This paper studies a continuous-time, finite-horizon contracting problem with renegotiation and dynamic inconsistency arising from non-exponential discounting. The problem is formulated as a dynamic game played among the agent, the principal and their respective future “selves”, each with their own discount function. We identify the principal optimal renegotiation-proof contract as a Markov perfect equilibrium (MPE) of the game, prove that such an MPE exists, and characterize the optimal contract via an extended Hamilton-Jacobi-Bellman system. We solve the optimal contract in closed-form when discounting is a function of the time-difference only and demonstrate the applicability of the results in several different settings.

本文研究了一个由非指数折现引起的具有再协商和动态不一致性的连续时间有限界收缩问题。该问题被描述为代理人、委托人和他们各自的未来“自我”之间的动态博弈，每个人都有自己的贴现函数。摘要将主最优重协商保证契约确定为博弈的一个马尔可夫完美均衡(MPE)，证明了该MPE的存在，并通过一个扩展的Hamilton-Jacobi-Bellman系统刻画了该最优契约。在折现率仅为时差函数时，我们用封闭形式求解了最优契约，并证明了结果在几种不同情况下的适用性。

 

 

10.A new approach to the uniqueness of equilibrium with CRRA preferences

具有CRRA偏好的均衡唯一性的新方法

Dong Chul Won

This paper investigates the uniqueness of equilibrium in the economy where agents have preferences with possibly distinct levels of relative risk aversion. Equilibrium prices exist in a price range determined by micro and macroeconomic information. Macroeconomic information is inferred from two representative-agent economies, which provide lower and upper bounds on aggregate demand, respectively. Analysis of the first and second-order price effects shows that individual demand has a unique inflection point at which the income effect maximally dominates the substitution effect. In contrast, aggregate demand may have multiple inflection points, which creates multiple equilibria. Sufficient conditions for the uniqueness of equilibrium are characterized by the local behavior of individual demand at the inflection point. They require that aggregate demand must have no more than two inflection points in the equilibrium price range. The result of this paper sheds light on the Sonnenschein-Mantel-Debreu theory that has negative implications for the uniqueness of equilibrium.

本文研究了在个体具有不同相对风险厌恶程度偏好的经济中均衡的唯一性。均衡价格存在于由微观和宏观经济信息决定的价格范围内。宏观经济信息是由两个代表性-代理人经济体推导出来的，它们分别提供了总需求的下限和上限。对一阶和二阶价格效应的分析表明，个体需求存在一个独特的拐点，此时收入效应最大程度地主导替代效应。相反，总需求可能存在多个拐点，从而产生多个均衡。均衡唯一性的充分条件由个体需求在拐点的局部行为表征。它们要求总需求在均衡价格范围内不得超过两个拐点。本文的结果揭示了Sonnenschein-Mantel-Debreu理论，该理论对平衡的唯一性有负面影响。

 

 

11.Fostering collusion through action revision in duopolies

在双头垄断中通过行动修正促进共谋

Nilanjan Roy

We design an experiment to study the implications of allowing players to revise their actions in a Cournot duopoly game. Payoffs are determined only by the quantities selected at the end in a real-time revision game. On the other hand, in a stochastic revision game, opportunities to adjust quantities arrive randomly, and the quantities selected at the last revision opportunity are implemented. Contrasting results emerge: while real-time revision results in choices that are more competitive than the static Cournot-Nash, significantly lower quantities are implemented when revisions are stochastic. The results hold for different arrival rates of revision opportunities. Our findings demonstrate that the ability to revise actions can sustain partial cooperation. Although quantity adjustment choices display substantial heterogeneity, the main implication of the theory of revision games put forth by Kamada and Kandori (2020) is supported.

我们设计了一个实验来研究在古诺双寡头博弈中允许玩家修改他们的行为的含义。在实时修正游戏中，收益只取决于最终选择的数量。另一方面，在随机修正博弈中，调整数量的机会随机到达，并执行在最后一次修正机会中选择的数量。对比结果出现了:虽然实时修正的结果比静态Cournot-Nash更有竞争力，但当修正是随机的时，执行的数量要低得多。该结果适用于不同的修订机会到达率。我们的研究结果表明，修正行动的能力可以维持部分合作。虽然数量调整选择表现出实质性的异质性，但Kamada and Kandori(2020)修正博弈理论的主要含义得到了支持。

 

 

12.The analogical foundations of cooperation

合作的类似基础

Philippe Jehiel, Larry Samuelson

We offer an approach to cooperation in repeated games of private monitoring in which players construct models of their opponents' behavior by observing the frequencies of play in a record of past plays of the game in which actions but not signals are recorded. Players construct models of their opponent's behavior by grouping the histories in the record into a relatively small number of analogy classes for which they estimate probabilities of cooperation. The incomplete record and the limited number of analogy classes lead to misspecified models that provide the incentives to cooperate. We provide conditions for the existence of equilibria supporting cooperation and equilibria supporting high payoffs for some nontrivial analogy partitions.

我们提供了一种在私人监控的重复博弈中合作的方法，在这种博弈中，玩家通过观察过去博弈记录中的博弈频率来构建对手行为的模型，在这些记录中，行动而不是信号被记录下来。玩家通过将记录中的历史分组到相对较少的类比类中来构建对手行为的模型，并据此估计合作的概率。不完整的记录和有限的类比类数量导致了提供合作激励的错误指定模型。对于一些非平凡的类比划分，给出了支持合作的均衡和支持高收益的均衡存在的条件。

 

 

13.Rational inattention when decisions take time

当决定需要时间时，理性的疏忽

Benjamin Hébert, Michael Woodford

Decisions take time, and the time taken to reach a decision is likely to be informative about the cost of more precise judgments. We formalize this insight using a dynamic model of optimal evidence accumulation. We provide conditions under which the resulting belief dynamics resemble either diffusion processes or processes with large jumps. We then consider the in which discounting effects are small relative to the opportunity cost of time, and show that the state-contingent choice probabilities predicted by our model are identical to those predicted by a static rational inattention model, providing a micro-foundation for such models. In the diffusion case, our model provides a normative foundation for a variant of the drift-diffusion model from mathematical psychology.

做出决定需要时间，而做出决定所花费的时间很可能对做出更精确的判断所花费的成本有很大的影响。我们使用最优证据积累的动态模型将这一见解形式化。我们提供了条件，在这些条件下产生的信念动力学类似于扩散过程或具有大跳跃的过程。然后，我们考虑折现效应相对于时间机会成本较小的情况，并表明我们的模型预测的状态或有选择概率与静态理性不关注模型预测的状态或有选择概率相同，为此类模型提供了微观基础。在扩散情况下，我们的模型为数学心理学中漂移-扩散模型的一个变体提供了规范基础。

 

 

14.Schumpeterian competition in a Lucas economy

卢卡斯经济中的熊彼特竞争

Daniel Andrei, Bruce I. Carlin

We model a rent-seeking game where agents experiment with a new technology and compete for claims to a consumption stream. We characterize how creative destruction affects risk, wealth, and asset prices. Competition not only imposes excessive disruption risk on existing assets and higher technological uncertainty, it also increases the wealth duration (the weighted-average maturity of wealth). Because of hedging motives, a complementarity between wealth duration and technological uncertainty decreases systematic risk. If competition is sufficiently intense, a negative risk premium may arise. The model generates price paths consistent with boom-bust patterns and transient episodes of negative expected excess returns. We show that Schumpeterian competition may worsen income inequality.

我们模拟了一个寻租游戏，在这个游戏中，代理人尝试一种新技术，并争夺消费流的所有权。我们描述了创造性破坏如何影响风险、财富和资产价格。竞争不仅给现有资产带来了过度的破坏风险和更高的技术不确定性，还增加了财富持续时间(财富的加权平均成熟度)。由于对冲动机的存在，财富久期与技术不确定性之间的互补性降低了系统风险。如果竞争足够激烈，可能会产生负风险溢价。该模型生成的价格路径与繁荣-萧条模式和短暂的负预期超额回报事件一致。本文研究表明，熊彼特竞争理论可能加剧收入不平等。

 

 

15.Regulatory mechanism design with extortionary collusion

与敲诈合谋的监管机制设计

Dilip Mookherjee, Masatoshi Tsumagari

We study regulatory mechanism design with collusion between a privately informed agent and a less well-informed supervisor, incorporating ‘extortion’ which permits redistribution of rents within the coalition. We show the Collusion Proof Principle holds, and that the allocation of bargaining power between the supervisor and agent matters. Specifically, the Principal does not benefit from hiring the supervisor if the latter has less bargaining power vis-a-vis the agent. We provide an example where hiring the supervisor is valuable if she has greater bargaining power. These results indicate the importance of anti-collusion strategies that augment bargaining power of supervisors vis-a-vis agents.

我们研究了监管机制的设计，其中包括一个私下知情的代理人和一个不太知情的监督者之间的勾结，其中包括”勒索”，这允许在联盟内重新分配租金。我们证明合谋证明原则是成立的，并且在监事和代理人之间的议价权分配是重要的。具体而言，如果监事对代理人的议价能力较低，则委托人不会从聘请监事中获益。我们提供了一个例子，如果主管有更大的议价能力，雇佣她是有价值的。这些结果表明，反共谋战略的重要性，以提高议价能力的监督者相对于代理人。

 

 

 

16.Markets for financial innovation

金融创新市场

Ana Babus, Kinda Hachem

We develop a theory of financial innovation in which both market structure and the payoffs of the claims being traded are determined endogenously. Intermediaries use the cash flows of an underlying asset to design securities for investors. Demand for securities arises as investors choose markets then trade using strategies represented by quantity-price schedules. We show that intermediaries create increasingly riskier asset-backed securities when facing deeper markets in which investors trade more competitively. In turn, investors elicit less risky securities when they choose thinner markets, revealing a novel role for market fragmentation in the creation of safer securities.

我们发展了一个金融创新理论，其中市场结构和交易债权的收益都是内生的。中介机构利用标的资产的现金流为投资者设计证券。当投资者选择市场，然后使用数量-价格表代表的策略进行交易时，对证券的需求就会增加。我们的研究表明，当中介机构面对更深层次的市场时，投资者在其中的交易更具竞争力，它们创造的资产支持证券风险越来越高。反过来，当投资者选择更薄的市场时，他们会得到风险更低的证券，这揭示了市场分割在创造更安全的证券方面的新作用。

 

 

17.Ambiguous information and dilation: An experiment

模糊信息和膨胀:一个实验

Denis Shishkin, Pietro Ortoleva

With standard models of updating under ambiguity, new information may increase the amount of relevant ambiguity: the set of beliefs may ‘dilate.’ We experimentally test one sharp case: agents bet on a risky urn and get information that is truthful or not based on the draw from an Ellsberg urn. With common models, the set of beliefs dilates, and the value of bets decreases for ambiguity-averse agents and increases for ambiguity-seeking ones. Instead, we find that the value of bets does not change for ambiguity-averse individuals, while it increases substantially for ambiguity-seeking ones. We also test bets on ambiguous urns, in which case we find sizable reactions to ambiguous information.

在模糊状态下更新的标准模型中，新的信息可能会增加相关模糊的数量:信念集可能会“膨胀”。“我们通过实验测试了一个尖锐的例子:代理人在一个有风险的骨灰盒上押注，然后根据从艾尔斯伯格骨灰盒中提取的信息来判断是否真实。在通用模型下，信念集会扩大，对于不愿歧义的代理，赌注的价值会减少，而对于寻求歧义的代理，赌注的价值会增加。相反，我们发现，对于不愿歧义的个体，赌注的价值没有变化，而对于寻求歧义的个体，赌注的价值显著增加。我们还测试了对模糊骨灰盒的押注，在这种情况下，我们发现了对模糊信息的大量反应。

 

 

18.Corrigendum to “Bubbles and constraints on debt accumulation” [J. Econ. Theory 57 (1992) 245–256]

对“泡沫与债务积累的制约”一文的勘误

Narayana Kocherlakota, Alexis Akira Toda

Kocherlakota (1992) considers a deterministic economy with a finite number of immortal agents who trade a single asset subject to short-sales constraints. Proposition 4 shows that, in any equilibrium with a bubble, the present value of an agent's endowment is infinite if the agent's asset holdings do not converge over time to a limit. This note corrects an error in the proof of Proposition 4.

Kocherlakota(1992)认为确定性经济中存在有限数量的不朽代理人，他们在卖空限制下交易单一资产。命题4表明，在任何有泡沫的均衡中，如果代理人的资产持有量不随时间收敛到一个极限，那么代理人禀赋的现值是无穷大的。本文修正了命题4证明中的一个错误。