This paper argues that in a monetary Real Business Cycle economy where a complete set of nominal contingent claims exist, the requirement to collateralize loans, alone, does not affect the equilibrium allocation when monetary policy is chosen optimally: The Pareto optimal allocation can be supported. A Friedman rule (r = 0), which would be optimal in the absence of collateral constraints, here is not. At the resulting prices, collateral constraints bind and the allocation is inefficient. However, positive interest rates (through an inflation tax on money balances) support the Pareto optimal allocation when the collateral constraint binds. © 2015, © Springer-Verlag Berlin Heidelberg (Outside the USA).
This paper characterizes equilibrium outcomes in consumer search markets taking the cost of going back to stores already searched explicitly into account. We show that the optimal sequential search rule under costly revisits is very different from the traditional reservation price rule in that it is non-stationary and not independent of previously sampled prices. We explore the implications of costly revisits on market equilibrium in two celebrated search models. In the Wolinsky model, some consumers search beyond the first firm. In this class of models, costly revisits do make a substantive difference and their impact can be of the same order of magnitude as the initial search cost. In the Stahl oligopoly search model where consumers do not search beyond the first firm, there remains a unique symmetric equilibrium that has firms use pricing strategies that are identical to the perfect recall case.
Мы рассматриваем оптимальные функции, описывающие вероятность победы в конкурсе и максимизирующие ожидаемый доход администратора (CSF - contest success functions), который в условиях информационной асимметрии распределяет источник ренты между конкурирующими сторонами. В статье показано, что в случае независимых частных ценностных установок оптимальный механизм ренты всегда может быть реализован через некоторые оптимальные функции, как, например, по Таллоку. Оптимальные эндогенные функции CSF обладают свойствами, которые зачастую приписываются им a priori в качестве черт борьбы за ренту. Данная статья подтверждает такие предположения для широкого класса конкурсов. В работе анализируются различные оптимальные функции CSF.
We revisit the Kyle (1985) model of price formation in the presence of private information. We begin by using Back's (1992) approach, demonstratingthat if standard assumptions are imposed, the model has a unique equilibrium solution, and that the insider's trading strategy has a martingale property. That in turn implies that the insider's strategies are linear in total order flow. We also show that for arbitrary prior distributions, the insider's trading strategy is uniquely determined by a Doob h-transform that expresses the insider's informational advantage. This allows us to reformulate the model so that Kyle's liquidity parameter is characterized by a Lagrange multiplier that is the marginal value or shadow price of information. Based on these findings, we can then interpret liquidity as the marginal value of information.
In the presence of uninsurable idiosyncratic risk, the optimal credit contract allows for the possibility of default. In addition, the optimal contract incorporates a precautionary savings motive over and above what agents would otherwise save. When default is sufficiently high, credit markets may collapse. A regulatory requirement on the level of savings can increase risk-sharing and improve welfare by increasing the gains to trade in credit exchange. Under the appropriate verifiability condition on the level of savings, an appropriate market structure, agents voluntarily increase their level of storage such that trade and welfare improve.
Users share the cost of unreliable non-rival projects (items). For instance, industry partners pay today for R&D that may or may not deliver a cure to some viruses, agents pay for the edges of a network that will cover their connectivity needs, but the edges may fail, etc. Each user has a binary inelastic need that is served if and only if certain subsets of items are actually functioning. We ask how should the cost be divided when individual needs are heterogenous. We impose three powerful separability properties: Independence of Timing ensures that the cost shares computed ex ante are the expectation, over the random realization of the projects, of shares computed ex post. Cost Additivity together with Separability Across Projects ensure that the cost shares of an item depend only upon the service provided by that item for a given realization of all other items. Combining these with fair bounds on the liability of agents with more or less flexible needs, and of agents for whom an item is either indispensable or useless, we characterize two rules: the Ex Post Service rule is the expectation of the equal division of costs between the agents who end up served; the Needs Priority rule splits the cost first between those agents for whom an item is critical ex post, or if there are no such agents between those who end up being served.