全域賽局在貨幣危機、協商失敗與社會規範理論的應用

The applications of global game theory on currency crisis, coordination failure, and social norm

金志婷(Chi-Ting Chin)

指導教授 ： 賴景昌

國立臺灣大學/社會科學院/經濟學研究所/博士(2006年)

https://doi.org/10.6342/NTU.2006.10186

摘要

本論文以「全域賽局(Global Game)」為中心架構、貫穿全文，並將全域賽局所設定的全面性訊息不對稱應用到幾個不同的經濟議題。所謂全域賽局是指：在策略互補的賽局(Strategic Complementarities)中考慮訊號干擾的現象。其中，當參賽者的最適反應(best response)恰為對手的行動時，表示參賽者與對手間具有策略互補的特性。而賽局中的所有參賽者間皆具策略互補的性質時，則此賽局為策略互補的賽局。至於訊號干擾則是一種全面性的訊息不對稱：假設所有參賽者的報酬都受到某個隨機變數的影響，且所有參賽者都不知道此隨機變數的真實值，每一位參賽者都只能觀察到一個非常接近該隨機變數真實值的私人訊號。
本論文第二章利用一般總體均衡的架構，在考慮全域賽局的貨幣危機模型之中，明確定義出政府的目標函數。首先，本論文第二章所設定的總體模型在訊息完全透明的情況下，將得到複均衡的結論；而在訊息全面性不對稱之下，則將得到單均衡。此外，本論文第二章利用明確的政府目標函數分析，推論出：除非透明化的成本夠低且基本面落在某適當的區間內，否則政府不會採取透明化的措施。
New Keynesian利用協商失敗模型的架構說明景氣循環的現象。本論文第三章以獨占性競爭市場與菜單成本為例，討論廠商協商失敗的模型，並將全域賽局的概念加入協商失敗模型中，並進一步說明：訊息事件將可能是引爆景氣循環的一個關鍵。此外，本論文第三章更明確定義出社會福利函數，分析政府的透明化措施對社會福利的影響。
在一般社會規範的體系中，遵守規範的行為會受到社會互動的影響，將得到複均衡的結論。然而，若在社會規範的體系中，考慮訊號干擾的效果，將使得社會的互動受到限制。因此，只要訊號干擾的效果夠大，牽制社會互動的力量亦將擴大，進而使複均衡的可能縮小。本論文第四章在社會規範的體系中，考慮了訊號干擾的效果。並且證明出：如果社會規範效果大於訊號干擾的效果，則體系存在複均衡；反之，如果訊號干擾效果大於社會規範的效果，則體系僅存單均衡。

關鍵字

全域賽局 ； 訊號干擾 ； 貨幣危機 ； 景氣循環 ； 協商失敗 ； 社會規範

並列摘要

The game with strategic complementarities can lead to multiple equilibria, and an equilibrium shifts from one to another not because something happened to the payoff structure but because all players believe the equilibrium changed. The trouble with indeterminate equilibrium is that the movement of the equilibrium is completely arbitrary. To overcome that problem, global games use the incomplete information to select equilibrium. Under a global game, some kind of noise intrudes into a game involving strategic complements. Due to the noise, information is incomplete: some component of the payoff is randomly determined and no player can observe the true state of the payoff. Therefore, this player will make the decision based on his/her own signal, and there will be unique equilibrium in a model with global game. The purpose of this dissertation is to provide alternative models with global game.
Chapter 2 considers the macroeconomic equilibrium to specify the government's objectives of the currency crisis global game model and uses the specific government's objectives to obtain the range of the true fundamental for the transparency policy that is decided by the government. It is shown that an information event might be a trigger for a currency attack, and the government will prevent a crisis by choosing transparency based on the transparency cost being small enough only.
In chapter 3, we add noise to the coordination failure model. It is shown that an information event can precipitate an economic fluctuation. Furthermore, we define the social welfare and use the specific social welfare to obtain the range of the economic state for the transparency policy that is decided by the government.
Chapter 4 sets up an incomplete information model of social norms. By using this model with the noisy signals, we show that it will become difficult to identify the norm-breakers (or norm-followers) due to the fact that there are insufficient social interactions. When the norm-induced motivation is vague, the cost of deviation from the norm, on the one hand, becomes evadable and, on the other hand, it becomes difficult for socially-minded individuals to “mimic” the decisions of other agents. Once the noisy signal effect becomes substantially large, the social norm-induced herd behavior will be jeopardized. As a result, the existence of a multiplicity of equilibria, which is a common result in a standard social norm model, may be eliminated.

並列關鍵字

global game ； noisy signal ； currency crisis ； business cycle ； coordination failure ； social norm

參考文獻

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