Ambiguity and Risk in Global Games
Ambiguity and Risk in Global Games
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发表时间：
2015
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通讯作者：
Takashi Ui
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作者：
Takashi Ui
如果玩家对全球博弈中的国家抱有模糊的信念，那么理性行为不仅取决于对国家的模糊性，还取决于对其他人行为的模糊性。当其中一项行动产生持续的回报（我们称之为安全行动）时，模糊性的影响最为明显。模糊的信息使更多的玩家选择安全的行动，而低质量的信息使更多的玩家选择事前对对手行动的统一信念的最佳反应。如果安全行动和事前最佳响应一致，那么足够模糊的信息会产生唯一的均衡，而足够低质量的信息会产生多重均衡。无论如何，两种信息都会产生相反的效果。在金融危机的应用中，我们证明质量更模糊的新闻会引发流动性危机，而质量不太模糊的新闻会引发货币危机。
If players have ambiguous beliefs about the state in global games, rational behavior depends on ambiguity not only about the state but also about others’ behavior. The impact of ambiguity is most evident when one of the actions yields a constant payoff, which we call a safe action. Ambiguous information makes more players choose a safe action, whereas low-quality information makes more players choose an ex ante best response to the uniform belief over the opponents’ actions. If the safe action and the ex ante best response coincide, sufficiently ambiguous information generates a unique equilibrium, whereas sufficiently low-quality information generates multiple equilibria. In any case, the two types of information have opposite effects. In applications to financial crises, we demonstrate that news of more ambiguous quality triggers a liquidity crisis, whereas news of less ambiguous quality triggers a currency crisis.