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Essays on Information in Global Game...

Trevino, Isabel.

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Essays on Information in Global Games and Financial Crises.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Essays on Information in Global Games and Financial Crises./
作者:	Trevino, Isabel.
面頁冊數:	209 p.
附註:	Source: Dissertation Abstracts International, Volume: 76-01(E), Section: A.
Contained By:	Dissertation Abstracts International76-01A(E).
標題:	Finance. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3635311
ISBN:	9781321162981

Essays on Information in Global Games and Financial Crises.
Trevino, Isabel.

Essays on Information in Global Games and Financial Crises. - 209 p.

Source: Dissertation Abstracts International, Volume: 76-01(E), Section: A.

Thesis (Ph.D.)--New York University, 2014.

This item must not be sold to any third party vendors.

This dissertation consists of three essays. Chapter 1 studies the informational role of fundamentals and social learning as channels of financial contagion. The fundamental channel is based on real and financial links between economies. The social learning channel arises when agents base their decisions on noisy observations about the actions of agents in foreign markets. We present a two country global games model of financial contagion where both channels can be operative and test its predictions experimentally. We observe systematic deviations from the theoretical predictions in the way subjects use the information at their disposal in the experiment. Two main biases arise: a base rate neglect bias, by which subjects underweight their prior, and thus rely less on the fundamental channel, and an overreaction bias where subjects put too much weight on the behavior they observe in a foreign country, thus strengthening the social learning channel. Chapters 2 and 3 study costly information acquisition in a speculative attack, modeled as a global game. Chapter 2 characterizes theoretically the implications of introducing endogenous precision choices in a global game where agents have the opportunity to improve the precision of their private signal, at a cost, before playing the coordination game. We show that only symmetric equilibria exist and provide sufficient conditions for uniqueness. Under these conditions, the unique symmetric equilibrium of the game is inefficient. We study the effects of increased transparency on information acquisition and coordination. We find that, depending on the cost of investment and on prior beliefs, an increase in the precision of public information can have a beneficial or detrimental effect on welfare. In Chapter 3 we solve and test experimentally a discrete version of the model from Chapter 2. We find that experimental subjects follow the strategies suggested by the theory, but, contrary to our predictions, the number of attacks increases as subjects acquire more precise information. This implies that as the precision of the signal increases, the actions of subjects move towards efficiency and not risk dominance, which contradicts previous well known results of global games.

ISBN: 9781321162981Subjects--Topical Terms:

542899
Finance.

Essays on Information in Global Games and Financial Crises.
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500 $a Adviser: Andrew Schotter.
502 $a Thesis (Ph.D.)--New York University, 2014.
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506 $a This item must not be added to any third party search indexes.
520 $a This dissertation consists of three essays. Chapter 1 studies the informational role of fundamentals and social learning as channels of financial contagion. The fundamental channel is based on real and financial links between economies. The social learning channel arises when agents base their decisions on noisy observations about the actions of agents in foreign markets. We present a two country global games model of financial contagion where both channels can be operative and test its predictions experimentally. We observe systematic deviations from the theoretical predictions in the way subjects use the information at their disposal in the experiment. Two main biases arise: a base rate neglect bias, by which subjects underweight their prior, and thus rely less on the fundamental channel, and an overreaction bias where subjects put too much weight on the behavior they observe in a foreign country, thus strengthening the social learning channel. Chapters 2 and 3 study costly information acquisition in a speculative attack, modeled as a global game. Chapter 2 characterizes theoretically the implications of introducing endogenous precision choices in a global game where agents have the opportunity to improve the precision of their private signal, at a cost, before playing the coordination game. We show that only symmetric equilibria exist and provide sufficient conditions for uniqueness. Under these conditions, the unique symmetric equilibrium of the game is inefficient. We study the effects of increased transparency on information acquisition and coordination. We find that, depending on the cost of investment and on prior beliefs, an increase in the precision of public information can have a beneficial or detrimental effect on welfare. In Chapter 3 we solve and test experimentally a discrete version of the model from Chapter 2. We find that experimental subjects follow the strategies suggested by the theory, but, contrary to our predictions, the number of attacks increases as subjects acquire more precise information. This implies that as the precision of the signal increases, the actions of subjects move towards efficiency and not risk dominance, which contradicts previous well known results of global games.
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