A Game Theoretic Approach to Monetary Policy

本研究从博弈论的角度研究了货币政策中的信息问题，重点研究了信息不对称和奈特不确定性，并针对信息不对称，推广了卢卡斯岛模型。卢卡斯表明，只有意想不到的货币冲击才会产生真正的影响。我们考虑了更一般的信息结构，并证明了实际影响可以分解为未预期的部分和预期的部分。根据这一结果，我们可以使用广义卢卡斯岛模型来研究政策宣布对实体经济的影响，政策宣布产生预期的货币冲击。我们还研究了信息不对称下理性预期均衡中的信息披露问题，并讨论了它对货币政策的一些启示。针对奈特不确定性，我们得到了Choacqu型期望效用理论的几个新结果，以期在未来的货币政策中得到应用。

In this research, we study informational issues in monetary policy from game theoretic viewpoints, especially focusing on informational asymmetry and Knightian uncertainty.Concerning informational asymmetry, one of our contributions is to generalize the Lucas island model. Lucas showed that only unanticipated monetary shocks have the real effects. We consider more general information structures and show that the real effects can be decomposed into the unanticipated part and the anticipated part. By this result, we can use the generalized Lucas island model to study the effects of policy announcement, which generates anticipated monetary shocks, on the real economy. We also study revealed information in rational expectations equilibria under informational asymmetry and discuss some implication for monetary policy.Concerning Knightian uncertainty, we derive several new results on the Choquet expected utility theory, aiming at future applications to monetary policy.