Research on the Organization of Markets in relation to the Heterogeneity of Information and the Decision-Making of Economic Agents

我们基本上有两个方面的研究成果。一是担心经济的信息结构和市场出现价格泡沫的可能性。另一种是从降低风险的角度研究远期交易的市场组织。近年来的研究表明，交易者在其证券市场交易中的理性行为可能会导致投机行为和泡沫的产生。在一个带有风险资产和无风险资产的多期证券交易的简化模型中，我们考虑了价格泡沫的影响。假设每个交易者在每个交易日的信息分割是可数的，并且满足“连续性”要求，我们证明了交易者在均衡时对市场状况的相互误解，其中每个人都可以感知到证券的当前市场均衡价格严格超过其最终价格的贴现价值。特别是，我们比较了这两种不同形式的净额结算安排涉及的内在系统性风险。我们分析的重点是，当两家以上的银行违约时，参与者的间接损失分担可能会损害参与者对多边净额结算的损害，超出双边净额结算安排的潜在风险水平。系统性信贷敞口的概念就是为了这个目的而使用的。

There are basically two lines of research in which we obtained results. One is concerned with the information structure of the economy and the possibility of price bubbles in the markets. The other is concerned with the market organization of forward transactions from the view point of risk reduction.In recent years it has been shown that speculative behavior and bubbles may arise as a result of rational behaviors of traders in their market transactions of securities. In a simplified model of multiperiod security trading with a risky asset and a riskless asset with consumptions taking place at the final date, we considered the implications of price bubbles. Assuming that the information partitions of each trader at each date are countable and satisfy a 'continuity' requirement, we showed that traders must have mutual misperceptions at equilibrium about the market situation where every individual can perceive that the prevailing market equilibrium price of the security strictly exceeds the discounted value of its price at the final date.In the other paper we introduced a formal model of foreign exchange contracts netting, and presented an analysis of multilateral and bilateral netting from the view point of credit risk reduction. In particular, we compared these two different forms of netting arrangements with respect to inherent systemic risks involved. The point of our analysis is to show that when more than two banks defaults, indirect loss sharing of participants could harm the participants to multilateral netting beyond the potential risk level of bilateral netting arrangements. The concept of systemic credit exposure was used for this purpose.