A Game Theoretic Foundation for the Stiglitz-Weiss Model
A Game Theoretic Foundation for the Stiglitz-Weiss Model
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斯蒂格利茨-韦斯模型的博弈论基础
DOI：
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发表时间：
2007
期刊：
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通讯作者：
L. Arnold
中科院分区：
文献类型：
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作者：
L. Arnold
与文献中通常假设的相反，返回函数（即，的关系
贷款利率和由此产生的回报率之间的关系）不能是全局性的驼峰形
Stiglitz-Weiss（1981）的逆向选择模型，借款人类型连续。
它可能是非单调的，但它在最大利率时达到全局最大值
超过这个范围就没有资本需求了。Arnold和Riley（2007）认为，如果返回
函数有唯一的局部最大值，并且在相应的利率下存在超额需求
Stiglitz和韦斯（1981）在以下背景下讨论的两种利率均衡：
具有多个峰的返回函数是模型的自然平衡结果。的
本文通过提供一个明确的博弈论基础来证实这一主张，
Stiglitz-Weiss（1981）模型。存款和信贷市场竞争模型
作为一个两阶段博弈，如斯塔尔（1988）和Yanelle（1989），我们表明，两个利益
利率分配发生在任何子博弈完美的纯策略均衡，如果信贷子博弈
在存款子博弈之前
Contrary to what is usually assumed in the literature, the return function (i.e., the relation
between the interest rate on loans and the resulting rate of return) cannot be globally humpshaped
in the Stiglitz-Weiss (1981) adverse selection model with a continuum of borrower types.
It is possibly non-monotonic, but it attains its global maximum at the maximum interest rate
beyond which there is no demand for capital. Arnold and Riley (2007) argue that if the return
function has a unique local maximum and there is excess demand at the corresponding interest
rate, the two-interest rate equilibrium discussed by Stiglitz and Weiss (1981) in the context of
a return function with multiple humps is the natural equilibrium outcome of the model. The
present paper substantiates this claim by providing an explicit game theoretic foundation for
the Stiglitz-Weiss (1981) model. Modeling competition in the markets for deposits and credit
as a two-stage game, as in Stahl (1988) and Yanelle (1989), we show that the two-interest
rate allocation occurs in any subgame perfect pure-strategy equilibrium if the credit subgame
precedes the deposit subgame.