Accumulating Information in Repeated Financial Transactions: Theory and Experiment

• Project/Area Number: 24530207
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Research Field: Economic theory
• Research Institution: Kansai University
• Principal Investigator: KOBAYASHI Hajime 関西大学, 経済学部, 教授 (10347510)
• Co-Investigator(Renkei-kenkyūsha): OHTA Katsunori 和歌山大学, 経済学部, 准教授 (60403218) ; SAITO Tetsuya 日本大学, 経済学部, 准教授 (80707422) ; SHICHIJO Tatsuhiro 大阪府立大学, 経済学部, 教授 (40305660)
• Project Period (FY): 2012-04-01 – 2015-03-31
• Project Status: Completed (Fiscal Year 2014)
• Budget Amount: ¥4,550,000 (Direct Cost: ¥3,500,000、Indirect Cost: ¥1,050,000); Fiscal Year 2014: ¥1,690,000 (Direct Cost: ¥1,300,000、Indirect Cost: ¥390,000); Fiscal Year 2013: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000); Fiscal Year 2012: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
• Keywords: 長期的関係 / 情報の経済学 / 実験経済学 / 経済実験 / 繰り返しゲーム / 情報の不確実性 / 社会的学習 / 隠れマルコフモデル

Outline of Final Research Achievements

We investigated a moral hazard problem in financial transactions. Specifically, we consider a repeated prisoner's dilemma between two players in which players can not observe the opponent's action but imperfectly observe signals depending on their actions. We compare efficiency losses in the different timings of releasing information combining with the different levels of noise of signals.
We found that the level of cooperation decreases as the timing of releasing signal becomes late. This experimental result implies that timely disclosure policy enhances efficiency in financial markets.

Research Products

• [Journal Article] Optimal Collusion under Imperfect Monitoring in Multimarket Contact (2012)
  • Author(s): Hajime Kobayashi and Katsunori Ohta
  • Journal Title: Games and Economics Behavior Volume: 72 Issue: 2 Pages: 636-647
  • DOI: 10.1016/j.geb.2012.08.003
  • Peer Reviewed
• [Presentation] Price and Equilibrium Selection in Monetary Search Models: An Experimental Approach (2015)
  • Author(s): 清水崇
  • Organizer: ミクロ経済学・ゲーム理論ワークショップ
  • Place of Presentation: 京都大学経済研究所
  • Year and Date: 2015-05-28
• [Presentation] Information Accumulation in Repeated Games with Imperfect Public Monitoring: Theory and Experiment (2015)
  • Author(s): 小林 創
  • Organizer: Contract Theory Workshop
  • Place of Presentation: 立命館大学大阪梅田キャンパス
  • Year and Date: 2015-02-21
• [Presentation] Information Accumulation in Repeated Games with Imperfect Public Monitoring: Theory and Experiment (2015)
  • Author(s): 七條達弘
  • Organizer: 第３回京都大学実験経済学ワークショップ
  • Place of Presentation: 京都大学
  • Year and Date: 2015-01-31
• [Presentation] Information Accumulation in Repeated Games with Imperfect Public Monitoring: Theory and Experiment (2014)
  • Author(s): 太田 勝憲
  • Organizer: ミクロ経済学・ゲーム理論ワークショップ
  • Place of Presentation: 京都大学経済研究所
  • Year and Date: 2014-12-18
• [Presentation] Information Accumulation in Repeated Games with Imperfect Public Monitoring: Theory and Experiment (2014)
  • Author(s): 小林 創
  • Organizer: 経済学セミナー
  • Place of Presentation: 日本大学
  • Year and Date: 2014-11-21
• [Presentation] Information Accumulation in Repeated Games with Imperfect Public Monitoring: Theory and Experiment (2014)
  • Author(s): 小林 創
  • Organizer: 第20回 DCコンファレンスインジャパン
  • Place of Presentation: 福岡大学
  • Year and Date: 2014-10-13
• [Presentation] 不完全公的観測を伴う繰り返しゲームにおける情報蓄積の効果 (2014)
  • Author(s): 七條 達弘
  • Organizer: 数理社会学会
  • Place of Presentation: 日本女子体育大学
  • Year and Date: 2014-08-31