Information, market power, and price volatility
Information, market power, and price volatility
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信息、市场力量和价格波动
DOI：
10.1111/1756-2171.12364
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发表时间：
2021
期刊：
影响因子：
--
通讯作者：
Morris, Stephen
中科院分区：
文献类型：
--
作者：
Bergemann, Dirk;Heumann, Tibor;Morris, Stephen
我们考虑有限数量的代理商和私人信息的需求函数竞争。我们表明，任何程度的市场力量可以出现在唯一的均衡下的信息结构，是任意接近完全信息。不管代理人的数量和支付冲击的相关性如何，市场力量可能任意接近于零（竞争结果）或任意大（因此没有交易）。相比之下，价格波动性总是低于所有信息结构的总冲击的方差。与古诺竞争相比，替代交易机制导致非常明显的界限。
We consider demand function competition with a finite number of agents and private information. We show that any degree of market power can arise in the unique equilibrium under an information structure that is arbitrarily close to complete information. Regardless of the number of agents and the correlation of payoff shocks, market power may be arbitrarily close to zero (the competitive outcome) or arbitrarily large (so there is no trade). By contrast, price volatility is always lower than the variance of the aggregate shock across all information structures. Alternative trading mechanisms lead to very distinct bounds as a comparison with Cournot competition establishes.