TY  - GEN
AB  - We study a strategic market game with finitely many traders, infinite horizon
and real assets. To this standard framework (see, e.g. Giraud and Weyers, 2004)
we add two key ingredients: First, default is allowed at equilibrium by means of
some collateral requirement for financial assets; second, information among players
about the structure of uncertainty is incomplete. We focus on learning equilibria,
at the end of which no player has incorrect beliefs — not because those players with
heterogeneous beliefs were eliminated from the market (although default is possible
at equilibrium) but because they have taken time to update their prior belief. We
then prove a partial Folk theorem `a la Wiseman (2011) of the following form: For any
function that maps each state of the world to a sequence of feasible and sequentially
strictly individually rational allocations, and for any degree of precision, there is a
perfect Bayesian equilibrium in which patient players learn the realized state with
precision and achieve a payoff close to the one specified for each state.
DA  - 2011
KW  - Strategic Market Games
KW  - Infinite Horizon
KW  - Incomplete Markets
KW  - Collateral
KW  - Incomplete Information
LA  - eng
PY  - 2011
SN  - 0931-6558
SP  - 49-
TI  - Learning in Infinite Horizon Strategic Market Games with Collateral and Incomplete Information
UR  - https://nbn-resolving.org/urn:nbn:de:0070-pub-29009786
Y2  - 2024-11-22T08:21:31
ER  -