A Game Theoretic Approach to Monetary Policy

本文从博弈论的角度研究了货币政策中的信息问题，特别关注了信息不对称和奈特不确定性。关于信息不对称，我们的贡献之一是推广了卢卡斯岛模型。卢卡斯指出，只有意外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，并表明实际效果可以分解为非预期部分和预期部分。通过这一结果，我们可以利用广义卢卡斯岛模型来研究政策公告对实体经济的影响，因为政策公告会产生预期的货币冲击。本文还研究了信息不对称条件下理性预期均衡中的揭示信息，并讨论了其对货币政策的启示。关于奈特的不确定性，我们在Choquet预期效用理论的基础上得出了几个新的结果，旨在未来在货币政策中的应用。

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.