Limited Commitment in Financial Markets: Market Transparency and Post-trade Implementation
2011/08/16
研討會日期 : 2011-08-16
時間 : 14:30
主講人 : Professor Kei Kawakami
地點 : Conference Room B110
演講者簡介 : Kei Kawakami got his Ph.D. in Economics from University of California, Los Angeles in 2010. He is currently serving as Assistant Professor of Department of Economics at University of Melbourne. His research field is in macroeconomics, financial intermediation, and applied econometrics and forecasting.
演講摘要 : We study opaque dealer markets where traders have two-dimensional private information and cannot commit to their actions. In the model environment, standard notions of efficiency face different problems: the ex post efficient allocation cannot be implemented by any static mechanisms, while interim (Bayesian Nash) efficient allocation is not robust to limited commitment. We formalize a new efficiency notion and a solution concept: Post-trade efficiency requires Pareto efficiency with respect to the information revealed by the allocation, while post-trade equilibrium requires incentive compatibility for the same information structure. We show that the post-trade efficient allocation is post-trade implementable and robust to limited commitment. However, trading volume is smaller compared to the interim efficient allocation because information revealed in the trading process directly increases traders’ welfare and decreases their trading needs. Thus, the model predicts low trading activity in markets characterized by limited commitment and also provides a new reason why opaque market structures may arise.
