具有递归效用的重复博弈中的跨期套期保值与交易

IF 6.6 1区 经济学 Q1 ECONOMICS
Econometrica Pub Date : 2023-12-07 DOI:10.3982/ECTA17756
Asen Kochov, Yangwei Song
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引用次数: 0

摘要

递归偏好的一般类别与动态选择的标准模型有两个关键特征:(i) 代理人可能会关心风险的跨期分布,(ii) 他们的时间偏好率不是固定不变的,而是会随着消费水平的变化而变化。我们研究了这些特征在重复战略互动中的含义。首先,我们表明,相对于静态互动而言,时际贸易的机会可能会扩大可行报酬的集合。我们发现了这种交易的两个不同来源:参与者时间偏好率的内生异质性和与风险跨期分布有关的对冲动机。另一方面,均衡报酬集可能会急剧缩小,因为无论耐心程度如何,许多有效结果都会变得不可持续。这种 "反民俗 "的结果出现在博弈者偏好阶段性结果正相关而非跨时间独立的情况下。直观地说,这种偏好使得用未来收益来抵消短期损失变得低效,而这正是确保在路径上达到安全水平所需要的。我们还建立了一个民间定理:如果安全水平在路径上得到满足,那么只要博弈者有足够的耐心,这种博弈就能在亚博弈完全均衡中持续下去。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Intertemporal Hedging and Trade in Repeated Games With Recursive Utility

Two key features distinguish the general class of recursive preferences from the standard model of dynamic choice: (i) agents may care about the intertemporal distribution of risk, and (ii) their rates of time preference, rather than being fixed, may vary with the level of consumption. We investigate what these features imply in the context of a repeated strategic interaction. First, we show that opportunities for intertemporal trade may expand the set of feasible payoffs relative to that in a static interaction. Two distinct sources for such trade are identified: endogenous heterogeneity in the players' rates of time preference and a hedging motive pertaining to the intertemporal distribution of risk. The set of equilibrium payoffs may on the other hand shrink drastically as many efficient outcomes become unsustainable no matter the level of patience. This “antifolk” result occurs when the players prefer stage outcomes to be positively correlated rather than independent across time. Intuitively, such preferences make it inefficient to offset short-term losses with future gains, while this is needed to ensure that security levels are met on path. We also establish a folk theorem: if security levels are met on path, such play can be sustained in a subgame perfect equilibrium provided that the players are sufficiently patient.

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来源期刊
Econometrica
Econometrica 社会科学-数学跨学科应用
CiteScore
11.00
自引率
3.30%
发文量
75
审稿时长
6-12 weeks
期刊介绍: Econometrica publishes original articles in all branches of economics - theoretical and empirical, abstract and applied, providing wide-ranging coverage across the subject area. It promotes studies that aim at the unification of the theoretical-quantitative and the empirical-quantitative approach to economic problems and that are penetrated by constructive and rigorous thinking. It explores a unique range of topics each year - from the frontier of theoretical developments in many new and important areas, to research on current and applied economic problems, to methodologically innovative, theoretical and applied studies in econometrics. Econometrica maintains a long tradition that submitted articles are refereed carefully and that detailed and thoughtful referee reports are provided to the author as an aid to scientific research, thus ensuring the high calibre of papers found in Econometrica. An international board of editors, together with the referees it has selected, has succeeded in substantially reducing editorial turnaround time, thereby encouraging submissions of the highest quality. We strongly encourage recent Ph. D. graduates to submit their work to Econometrica. Our policy is to take into account the fact that recent graduates are less experienced in the process of writing and submitting papers.
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