Calendrier du 06 septembre 2018
TOM (Théorie, Organisation et Marchés) Lunch Seminar
Du 06/09/2018 de 12:30 à 13:30
salle R2-20, campus Jourdan - 48 bd Jourdan 75014 Paris
MUIR Ellen (Standford University )
Equilibrium Adjustment Dynamics
écrit avec Simon Loertscher (University of Melbourne)
Abstract:
We study asset markets in which agents with private information about their values arrive over time. Each agent is endowed with some units of the asset and has a commonly known maximum demand. As a function of her value and the values of all others, each agent optimally either buys, sells, or does not trade. We show that the equilibrium under the socially optimal mechanism involves phases of market imbalances during which sellers, or less frequently buyers, are on the long side. Calling a market a buyers' (sellers') market when the terms of trade favor buyers (sellers), we show that buyers (sellers) being on the short side is neither necessary nor sufficient for a buyers' (sellers') market. The optimal mechanism involves (partial) price rigidity insofar as some traders' prices do not change even as other traders' allocations do. The optimal adjustment dynamics to out-of-equilibrium states involve fire trades -- the immediate liquidation of trades whose level exceeds the socially optimal storage threshold -- followed by slow and incremental adjustments to a typical state.