Aversion to Strategic Uncertainty: Measurement and Policy Implications

策略不确定性是指玩家面对其他玩家所选择策略的不确定性。虽然经济理论主要应用纳什均衡或理性预期均衡等基于不存在战略不确定性的均衡概念，但实验表明，真正的决策者对战略不确定性很敏感。实验室实验表明，大多数人放弃了相当一部分预期收益，以避免其收益取决于他人的决策，这被称为战略不确定性厌恶。这种厌恶情绪对经济效率产生了深远的影响，因为它意味着市场环境中的协调失败和次优投资和冒险水平。我们的项目首先旨在开发一种测量战略不确定性厌恶的方法。我们的主要想法是引出参与游戏的付费意愿以及游戏中潜在收益的主观概率。主观预期收益与愿意支付之间的差额是主体为避免各自的不确定性而愿意放弃的金额。这就定义了战略不确定性的溢价，类似于衡量受试者为参与彩票而支付的意愿与该彩票的预期收益之间差异的风险溢价。其次，我们想要找出策略不确定性厌恶是如何受到博弈特征的影响的，并将其与经典意义上的风险厌恶和模糊厌恶进行比较。为此，我们想要比较不同游戏中的策略不确定性溢价与风险溢价和模糊性溢价（与未知概率的彩票定义方式类似）。由于战略不确定性厌恶可能导致低效的结果，我们的第三个目标是分析通过哪些手段可以减少战略不确定性。在这里，我们想分析战略不确定性厌恶的政策含义。特别是，我们将考虑货币经济学和金融危机的应用，中央银行和金融市场监管者可以改变游戏的特征。我们也对代理人如何通过沟通和获取他人所知的信息来减少战略不确定性感兴趣。为此，我们将特别分析不同的沟通渠道和信息如何影响战略不确定性溢价。为了交流我们的成果并促进该领域的研究，除了参加会议并在高排名期刊上发表我们的工作外，我们计划在项目的第二年组织一次关于战略不确定性的国际研讨会。

Strategic uncertainty is the uncertainty that players face with respect to the strategies chosen by other players. While economic theory mostly applies equilibrium concepts like Nash or rational expectations equilibria that are based on the absence of strategic uncertainty, experiments show that real decision makers are sensitive to strategic uncertainty. Laboratory experiments have indicated that most humans waive a substantial part of their expected payoff in order to avoid that their payoff depends on the decisions by others, which is called strategic uncertainty aversion. This aversion has far-reaching consequences for economic efficiency, because it implies coordination failures and suboptimal levels of investment and risk-taking in market environments. Our project first aims at developing a method for measuring strategic uncertainty aversion. Our main idea is to elicit the willingness to pay for participating in a game and subjective probabilities for the potential payoffs in this game. The difference between the subjectively expected payoff and the willingness to pay is the amount that a subject is willing to waive for avoiding the respective uncertainty. This defines a premium for strategic uncertainty in a similar vein as the risk premium that measures the difference between a subject’s willingness to pay for participating in a lottery and the expected payoff from that lottery. Secondly, we want to find out how strategic uncertainty aversion is affected by the characteristics of the game, and how it compares to risk aversion and ambiguity aversion in the classical sense. For this, we want to compare premia for strategic uncertainty in different games with risk premia and ambiguity premia (that are defined in a similar way for lotteries without known probabilities). Because strategic uncertainty aversion may lead to inefficient outcomes, our third goal is to analyze by which means strategic uncertainty can be reduced. Here, we want to analyze the policy implications of strategic uncertainty aversion. In particular, we will consider applications to monetary economics and financial crises, where central banks and financial market regulators can change the characteristics of the game. We are also interested in how agents may themselves reduce strategic uncertainty by communication and by acquiring information about what the others know. To this aim, we will especially analyze how different communication channels and information affect the strategic uncertainty premium.To communicate our results and promote research in the field, on top of participating at conferences and publishing our work in highly ranked journals, we plan to organize an international workshop on strategic uncertainty during the second year of the project.