| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP16484 |
| DP16484 Persuasion in Global Games with Application to Stress Testing | |
| Alessandro Pavan; Nicolas Inostroza | |
| 发表日期 | 2021-08-25 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | We study robust/adversarial information design in global games, with an application to stress testing. We show that the optimal policy coordinates all market participants on the same course of action. Importantly, while it removes any “strategic uncertainty,” it preserves heterogeneity in “structural uncertainty” (that is, in beliefs over payoff fundamentals). We identify conditions under which the optimal policy is a “pass/fail” test, show that the optimal test need not be monotone in fundamentals, but also identify conditions under which it is monotone. Finally, we show how the effects of an increase in market uncertainty on the toughness of the optimal stress test depend on the securities issued by the banks. |
| 主题 | Financial Economics |
| 关键词 | Global games Coordination under incomplete information Bayesian persuasion Adversarial information design Stress tests |
| URL | https://cepr.org/publications/dp16484 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/545441 |
| 推荐引用方式 GB/T 7714 | Alessandro Pavan,Nicolas Inostroza. DP16484 Persuasion in Global Games with Application to Stress Testing. 2021. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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