Decision making and financial markets under risk and ambiguity
| Project/Area Number |
20530150
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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, 経済学部, 教授 (60312815)
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| Project Period (FY) |
2008 – 2010
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| Project Status |
Completed (Fiscal Year 2010)
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| Budget Amount *help |
¥3,120,000 (Direct Cost: ¥2,400,000、Indirect Cost: ¥720,000)
Fiscal Year 2010: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2009: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2008: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
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| Keywords | ナイト的不確実性 / 私的情報 / 経済実験 / グローバル・ゲーム / 投機的取引 / 金融危機 / 通貨危機 / 信用危機 / グローバルゲーム / 不確実性 / 金融資産価格 / リスク・プレミアム |
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| Research Abstract |
We study financial markets under ambiguity and asymmetric information. We consider two models. One model is a general equilibrium model. A necessary and sufficient condition for speculative trade is derived. In addition, different roles of the risk premium and the ambiguity premium on asset prices are studied. The other model is a global game model of financial crises under ambiguity. The relationship between ambiguity and the probability of crises is investigated. Furthermore, we empirically test our theoretical prediction.
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Report
(4 results)
Research Products
(13 results)
