Collaborative Research: Sunspots in the Laboratory

经济学家提出了一种“太阳黑子”均衡理论，用来描述经济波动不是由市场基本面变化驱动的情况，而是由外在的、非基本面因素驱动的情况。这个项目涉及一个实验的设计，将探讨这些外在因素是否以及如何导致市场波动，以及特定的市场制度是否也起作用。这个实验包括两个主要的处理方法。在第一个实验中，人类受试者与买方或卖方一起参与计算机化的“双重拍卖”，在这种拍卖中，货物可以在固定的交易期间以双方商定的价格连续买卖，所有参与者都可以观察到这些价格。在第二种“看涨市场”处理中，主体提交私人投标和报价，一个集中的机制决定单一的市场出清价格，以及每个参与者可以买入或卖出的数量。因此，在这种环境中，主体接收到的唯一信息是由此产生的市场价格和他们能够以该价格购买或出售的数量。在这两种处理中，受试者都面临着不确定性，因为他们被告知他们可以买卖的商品的两套价值或成本；这两个集合对应于经济的“状态”，并被称为“高”或“低”，参考这两种状态的均衡价格。（两种状态下的均衡量是相同的）。最初，受试者被提前告知经济状况，以便他们熟悉两种状态的价格。几轮后，受试者被告知经济的真实状况，将在所有交易完成后，在稍后确定。此外，确定状态的规则将取决于双重拍卖环境中的中位数交易价格或看涨市场环境中的类似市场出清价格。如果该价格位于均衡低价的限定范围内，则宣布该状态为低状态；如果该价格位于均衡高价的限定范围外，则宣布该状态为高状态。为受试者提供潜在的协调装置（或太阳黑子实现），其形式为实验者随机宣布对当期价格状况的预测。受试者被告知本公告不具有约束力。初步研究结果表明，在高度集中的看涨市场环境下，主体在公告上的协调是完美的，但在更分散的双重拍卖环境下，主体在公告上的协调却不尽如人意。这些实验结果如果被复制，将对真实金融市场的结构产生重大影响。

Economists have developed a theory of "sunspot" equilibrium to describe situationswhere economic fluctuations are not driven by changes in market fundamentals, but areinstead due to extrinsic, non-fundamental factors. This project involves the design of anexperiment that will explore whether and how such extrinsic factors can result in marketfluctuations, and whether the particular market institution also plays a role.The experiment consists of two main treatments. In the first, human subjects participateas buyers or sellers in a computerized "double auction", where goods can be bought andsold continuously over a fixed trading period at mutually agreed upon prices that areobservable as they occur to all participants. In the second "call market" treatment,subjects submit private bids and offers, and a centralized mechanism determines thesingle, market clearing price, as well as the quantities that each participant can buy orsell. Thus, the only information subjects receive in this environment is the resultingmarket price and the quantity they were able to buy or sell at this price.In both treatments, subjects face uncertainty in that they are given two sets of values orcosts for the goods they can buy or sell; these two sets correspond to the"state" of theeconomy, and are referred to as "high" or "low" in reference to the equilibrium price inthe two states. (the equilibrium quantity is the same in both states). Initially, subjects aretold the state of the economy in advance, so that they become familiar with the two statesfor prices. After several rounds, subjects are informed that the true state of the economy,will henceforth be determined expost, after all trading is completed. Furthermore, the rulefor the determination of the state will depend on the median trade price in the doubleauction environment or on the analogous market clearing price in the call marketenvironment. If this price lies within a proscribed domain of the equilibrium low price,then the state is declared to be low and if it lies outside this domain, in that of theequilibrium high price, then the state is declared to be high. Subjects are provided with apotential coordination device (or sunspot realization) which takes the form of a randomannouncement by the experimenter of the forecast for the state of prices in the currentperiod. Subjects are instructed that this announcement has no binding consequences.Preliminary findings suggest that subjects coordinate perfectly on the announcement inthe highly centralized call market environment but fail to do the same in the moredecentralized double auction environment. These experimental findings if replicated,have significant implications for the architecture of real financial markets.