2010 Fiscal Year Final Research Report
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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| 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 |
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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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