Default and Punishment in General Equilibrium1

We extend the standard model of general equilibrium with incomplete markets to allow for default and punishment by thinking of assets as pools. The equilibrating variables include expected delivery rates, along with the usual prices of assets and commodities. By reinterpreting the variables, our model encompasses a broad range of adverse selection and signalling phenomena in a perfectly competitive, general equilibrium framework. Perfect competition eliminates the need for lenders to compute how the size of their loan or the price they quote might affect default rates. It also makes for a simple equilibrium refinement, which we propose in order to rule out irrational pessimism about deliveries of untraded assets. We show that refined equilibrium always exists in our model, and that default, in conjunction with refinement, opens the door to a theory of endogenous assets. The market chooses the promises, default penalties, and quantity constraints of actively traded assets.     

Bargaining and Reputation

The paper develops a reputation based theory of bargaining. The idea is to investigate and highlight the influence of bargaining ‘postures’ on bargaining outcomes. A complete information bargaining model a la Rubinstein is amended to accommodate ‘irrational types’ who are obstinate, and indeed for tractability assumed to be completely inflexible in their offers and demands. A strong ‘independence of procedures’ result is derived: after initial postures have been adopted, the bargaining outcome is independent of the fine details of the bargaining protocol so long as both players have the opportunity to make offers frequently. The latter analysis yields a unique continuous‐time limit with a war of attrition structure. In the continuous‐time game, equilibrium is unique, and entails delay, consequently inefficiency. The equilibrium outcome reflects the combined influence of the rates of time preference of the players and the ex ante probabilities of different irrational types. As the probability of irrationality goes to zero, delay and inefficiency disappear; furthermore, if there is a rich set of types for both agents, the limit equilibrium payoffs are inversely proportional to their rates of time preference.     

在线双向拍卖中的不完全信息博弈仿真研究

双向拍卖机制能较好地解决在线拍卖中如何有效利用网络资源、减轻网络负荷的问题,而构造双向拍卖的报价模型和策略是其重要内容之一。从实验经济学方法的角度,构造了在线双向拍卖中不完全信息博弈下存在的贝叶斯—纳什均衡并求解,通过计算机仿真详细分析了该模型的特点和可行性,为高效利用网络资源、提高在线拍卖效率提供了可行的思路。     

Optimal Use of Communication Resources

We study a repeated game with asymmetric information about a dynamic state of nature. In the course of the game, the better‐informed player can communicate some or all of his information to the other. Our model covers costly and/or bounded communication. We characterize the set of equilibrium payoffs and contrast these with the communication equilibrium payoffs, which by definition entail no communication costs.     

Does Market Incompleteness Matter?

This paper argues that incompleteness of intertemporal financial markets has little effect (on welfare, prices, or consumption) in an economy with a single consumption good, provided that traders are long–lived and patient, a riskless bond is traded, shocks are transitory, and there is no aggregate risk. In an economy with aggregate risk, a similar conclusion holds, provided traders share the same CRRA utility function and the right assets are traded. Examples demonstrate that these conclusions need not hold if the wrong assets are traded or if the economy has multiple consumption goods.     

Testing hypotheses for the growth curve model when the data are incomplete

Kleinbaum (1973) developed a generalized growth curve model for analyzing incomplete longitudinal data. In this paper the small sample properties of several related test statistics are investigated via Monte Carlo techniques. The covariance matrix is estimated by each of three non-iterative methods. The null and non-null distributions of these test statistics are examined.     

Nonparametric analysis of treatment effects with missing observations

This paper develops a test for comparing treatment effects when observations are missing at random for repeated measures data on independent subjects. It is assumed that missingness at any occasion follows a Bernoulli distribution. It is shown that the distribution of the vector of linear rank statistics depends on the unknown parameters of the probability law that governs missingness, which is absent in the existing conditional methods employing rank statistics. This dependence is through the variance–covariance matrix of the vector of linear ranks. The test statistic is a quadratic form in the linear rank statistics when the variance–covariance matrix is estimated. The limiting distribution of the test statistic is derived under the null hypothesis. Several methods of estimating the unknown components of the variance–covariance matrix are considered. The estimate that produces stable empirical Type I error rate while maintaining the highest power among the competing tests is recommended for implementation in practice. Simulation studies are also presented to show the advantage of the proposed test over other rank-based tests that do not account for the randomness in the missing data pattern. Our method is shown to have the highest power while also maintaining near-nominal Type I error rates. Our results clearly illustrate that even for an ignorable missingness mechanism, the randomness in the pattern of missingness cannot be ignored. A real data example is presented to highlight the effectiveness of the proposed method.     

不完全信息下知识联盟内知识共享博弈研究

知识联盟内各成员互相学习和知识共享,能够最大程度地利用分散于联盟组织的异质性知识,从而推动知识联盟的知识创造。由于联盟成员合作关系的长期性,即使在不完全信息条件下,也可以把知识联盟组织间知识共享视为无限次重复博弈的过程,而根据KMRW等定理,联盟成员最终会选择合作策略,即共享知识。     

指数分布参数基于不完全数据的区间估计

对不完全样本观测数据,讨论了指数分布总体参数的区间估计;给出了构造置信区间的一种方法并推导出了相应的分布密度函数表达式;并说明了该方法在样本中可能存在异常值时的应用。     

《现代汉语词典》科技术语义项漏略商榷

《现代汉语词典》(2002年增补本)的科技术语存在着义项漏略问题,有的是专科义项漏略,如"干涉"、"权数";有的是语文义项漏略,如"毒瘤"、"腐蚀剂"、"催化剂"。