Decision making and financial markets under risk and ambiguity

• Project/Area Number: 20530150
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Single-year Grants
• Section: 一般
• Research Field: Economic theory
• Research Institution: Yokohama National University
• Principal Investigator: UI Takashi Yokohama National University, 経済学部, 教授 (60312815)
• Project Period (FY): 2008 – 2010
• Project Status: Completed (Fiscal Year 2010)
• Budget Amount: ¥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)
• 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

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.

Research Products

• [Journal Article] The Ambiguity Premium vs. the Risk Premium under Limited Market Participation (2011)
  • Author(s): Ui, T.
  • Journal Title: Review of Finance 15 Pages: 245-275
  • NAID: 120003101830
• [Journal Article] The ambiguity premium vs. the risk premium under limited market participation (2010)
  • Author(s): Ui, T.
  • Journal Title: Review of Finance (印刷中)
  • NAID: 120003101830
  • Peer Reviewed
• [Journal Article] Interim Efficient Allocations under Uncertainty (2009)
  • Author(s): Kajii, A., Ui, T.
  • Journal Title: Journal of Economic Theory 144 Pages: 337-353
  • NAID: 120001001504
• [Journal Article] Interim Efficient Allocations under Uncertainty (2009)
  • Author(s): Kajii, A.
  • Journal Title: Journal of Economic Theory 144 Pages: 337-353
  • Peer Reviewed
• [Presentation] Global games and ambiguous information : an experimental study (2011)
  • Author(s): Ui, T.
  • Organizer: 6th Pan Pacific Conference on Game Theory
  • Place of Presentation: 東京工業大学
  • Year and Date: 2011-02-28
• [Presentation] Global games and ambiguous information : an experimental study (2011)
  • Author(s): 宇井貴志
  • Organizer: 6^th Pan Pack Conference on Game Theory
  • Place of Presentation: 東京工業大学
  • Year and Date: 2011-02-28
• [Presentation] Ambiguity and risk in global games (2010)
  • Author(s): Ui, T.
  • Organizer: CRETA-Marie Curie Conference in Honour of Peter Hammond
  • Place of Presentation: Universoty of Warwick
  • Year and Date: 2010-03-23
• [Presentation] Ambiguity and risk in global games (2010)
  • Author(s): Ui, T.
  • Organizer: CRETA-Marie Curie Conference in Honour of Peter Hammond
  • Place of Presentation: Univ. of Warwick
  • Year and Date: 2010-03-23
• [Presentation] Ambiguity and risk in credit crises (2010)
  • Author(s): Ui, T.
  • Organizer: JFFoS
  • Place of Presentation: ENSMA
  • Year and Date: 2010-01-24
• [Presentation] Ambiguity and risk in global games (2009)
  • Author(s): Ui, T.
  • Organizer: UECE Lisbon Meetings
  • Place of Presentation: UECE
  • Year and Date: 2009-11-06
• [Presentation] The Ambiguity Premium and Risk Premium under Limited Market Participation (2008)
  • Author(s): Ui, T.
  • Organizer: 南山横国ファイナンス・ワークショップ
  • Place of Presentation: 南山大学
  • Year and Date: 2008-11-30
• [Remarks] ホームページ等
  • URL: http://www2.igss.ynu.ac.jp/~oui/
• [Remarks] 研究成果は, 代表者のHP よりダウンロードできる
  • URL: http://sites.google.com/site/takashiui/