A Game Theoretic Approach to Monetary Policy
| Project/Area Number |
16530114
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Economic theory
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| Research Institution | Yokohama National University |
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Principal Investigator |
UI Takashi Yokohama National University, Faculty of Economics, Professor, 経済学部, 教授 (60312815)
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| Project Period (FY) |
2004 – 2006
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| Project Status |
Completed (Fiscal Year 2006)
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| Budget Amount *help |
¥2,400,000 (Direct Cost: ¥2,400,000)
Fiscal Year 2006: ¥600,000 (Direct Cost: ¥600,000)
Fiscal Year 2005: ¥600,000 (Direct Cost: ¥600,000)
Fiscal Year 2004: ¥1,200,000 (Direct Cost: ¥1,200,000)
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| Keywords | monetary policy / informational asymmetry / Knightian uncertainty / Choquet integral / rational expectations / ショケ積分 / 非期待効用 / 合理的期待 / 相関均衡 / Dempster-Shaferルール / 最尤法ルール / Phelps-Lucas仮説 / 金融政策 / 公的情報 / 不完備情報ゲーム |
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| Research Abstract |
In this research, we study informational issues in monetary policy from game theoretic viewpoints, especially focusing on informational asymmetry and Knightian uncertainty.
Concerning informational asymmetry, one of our contributions is to generalize the Lucas island model. Lucas showed that only unanticipated monetary shocks have the real effects. We consider more general information structures and show that the real effects can be decomposed into the unanticipated part and the anticipated part. By this result, we can use the generalized Lucas island model to study the effects of policy announcement, which generates anticipated monetary shocks, on the real economy. We also study revealed information in rational expectations equilibria under informational asymmetry and discuss some implication for monetary policy.
Concerning Knightian uncertainty, we derive several new results on the Choquet expected utility theory, aiming at future applications to monetary policy.
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Report
(4 results)
Research Products
(5 results)
