Berlin 2012 – wissenschaftliches Programm
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SOE: Fachverband Physik sozio-ökonomischer Systeme
SOE 3: Economic Models and Evolutionary Game Theory I
SOE 3.3: Vortrag
Montag, 26. März 2012, 11:30–11:45, H 0110
Game theoretic foundations of macroeconomic rational expectation equilibria — •Eckehard Olbrich1, Nils Bertschinger1, and David H. Wolpert2 — 1MPI MiS, Leipzig, Germany — 2Santa Fe Institute, NM, USA
We investigate the game-theoretic foundations of rational expectation equilibria in a prototypical macroeconomic model, the famous “coconut” model [1, 2]. In this model agents have to decide whether to make a costly investment in a production facility. Agents only value goods produced by other agents, but can trade a good they produce for a good produced by another agent. In this model a market failure equilibrium can arise as a self-fulfilling prophecy, where everyone believes nobody else invests, and therefore nobody makes the investment necessary to have a good to trade. However in other equilibria, the self-fulfilling prophecy leads everyone to invest, and there is no market failure. We show that there are multiple ways to formulate the coconut model as a game, each resulting in different Nash equilibria. We also show that the equilibrium analysis of [2] contains inconsistencies and resolve them. In particular, we establish that the dynamical system analyzed in [2] is only a necessary condition for Nash equilibria, but does not provide a reasonable model for off-equilibrium agent behavior. To correct this we introduce learning to the model, and present a modified stability analysis. [1] P. Diamond, Aggregate demand management in search equilibrium, J. Pol. Econ. 90, 881–894. [2] P. Diamond and D. Fudenberg, Rational expectations business cycles in search equilibrium, J. Pol. Econ. 97 (1989), 606–619.