Collaborative Research: Sunspots in the Laboratory

经济学家发展了一种“太阳黑子”均衡理论，用来描述经济波动不是由市场基本面的变化驱动的，而是由外在的、非基本面的因素引起的情况。本研究设计了一个实验，旨在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发挥了作用。在第一个实验中，人类作为买方或卖方参与了一个计算机化的“双向拍卖”，在这个拍卖中，货物可以在一个固定的交易周期内以双方商定的价格连续买卖，这些价格是所有参与者都能观察到的。在第二种“看涨市场”处理中，主体提交私人出价和出价，并由一个集中的机制确定单一的市场清算价格，以及每个参与者可以购买或出售的数量。因此，在这种环境中，受试者得到的唯一信息是最终的市场价格和他们在这个价格上能够购买或出售的数量。在这两种处理中，受试者都面临着不确定性，因为他们被给予了两组他们可以购买或出售的商品的价值或成本;这两组对应于经济的“状态”，并被称为“高”或“低”在参考均衡价格在两个国家。(the两种状态下的平衡量相同）。最初，受试者被提前告知经济状况，以便他们熟悉这两个国家的价格。经过几轮交易后，受试者被告知，真实的经济状况，将在所有交易完成后确定。此外，确定状态的规则将取决于双重期权环境中的中间交易价格或看涨期权市场中的类似市场清算价格。如果这个价格位于均衡低价的一个限定范围内，那么这个国家就被宣布为低价，如果它位于这个限定范围之外，在均衡高价的范围内，那么这个国家就被宣布为高价。受试者被提供了一个潜在的协调装置（或太阳黑子实现），其形式是由实验者随机宣布对当前时期价格状况的预测。实验结果表明，在高度集中的看涨期权市场环境中，参与者在这一公告上进行了完美的协调，但在更加分散的双向拍卖环境中，参与者却没有做到这一点。这些实验发现如果被复制，将对真实的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.