具有不同财务约束的市场选择

Market Selection with Differential FinancialConstraints

作者：

Guerdjikova，A

Quiggin，J

We analyze Önancial markets in which agents face di§erential constraints on the set of assets in which they can trade. In particular, theassets available to each agent span a partition of the state space, which canbe strictly coarser than the partition spanned by the assets available inthe market. We Örst show that the existence of di§erential constraints hasan impact on prices and allocations as compared to a complete Önancialmarket with unconstrained agents.
We consider the implications for survival, taking the work of Blumeand Easley (2006) as a starting point. We show that whenever agents haveidentical correct beliefs and equal discount factors, and their partitionsare nested, all agents survive. When agents have heterogeneous beliefs,di§erential constraints may allow agents with wrong beliefs to survive.Provided constraints are relevant (in a sense we deÖne more precisely),the condition for an agent to survive is that his survival index is at least aslarge as that of the agents with Öner partitions. We also study the impactof deregulation (an increase in the set of assets available to some agents).Unless the agent can adopt beliefs that are closer to the truth on thenewly reÖned partition than those of less constrained agents, increasinghis opportunities for trade might harm his chances for survival.
我们分析了金融市场，在这些市场中，代理商在可以交易的资产集上面临不同的约束。特别是，每个代理可用的资产跨越状态空间的一个分区，它可能比市场上可用资产所跨越的分区要严格得多。我们首先表明，与没有约束代理商的完整金融市场相比，差异约束的存在对价格和分配产生了影响。我们以Blume和Easley（2006）的工作为出发点，考虑了生存的意义。我们表明，只要代理商具有相同的正确信念和相等的折现因子，并且它们的分区相互嵌套，所有代理商都可以生存。当代理具有不同的信念时，差异约束可能会使具有错误信念的代理得以生存。如果约束是相关的（在某种意义上我们可以更精确地定义），则代理生存的条件是其生存指数至少与具有更精细分区的代理的生存指数一样大。我们还研究了放松管制的影响（某些代理商可获得的资产增加）。除非代理人能比那些不太受约束的代理人在新改良的划分上能接受更接近真相的信念，否则增加其贸易机会可能会损害其生存机会。