发帖
雷达卡
具有信息异质性的市场中的流动性和价格分散
Liquidity and Price Dispersion in Markets withInformation Heterogeneity
作者：
齐立（Qi Li）
罗伯特·希默（Robert Shimer）
We consider asset markets where quality is heterogeneous and buyers have differentability to evaluate quality. In particular, we allow sellers to set up markets indexed byasking prices and buyers direct their search into different markets. We construct an equilibrium that features pooling on the sellers’ side and separation on buyers’ side. A buyerwithout expertise in asset evaluation will search in a high-price market that contains moregood assets. On the other hand, a buyer with expertise will search in a low-price market.The low-price market will be polluted with more bad assets but the buyer can use hisexpertise to pick out the good assets and reject the bad ones. In equilibrium, the probability for a seller to meet a buyer decreases in asking price, and sellers with a bad assetare further rationed due to rejections by expert buyers. The model predicts that a largershare of bad assets is associated with a worsening of asset liquidity and an exacerbation ofprice dispersion.
摘要我们认为资产市场的质量参差不齐，而买方具有不同的质量评估能力。尤其是，我们允许卖方建立以要价索引的市场，而买方则将搜索直接引导到不同的市场。我们构建了一个均衡机制，其特征是在卖方方面集中起来，在买方方面分开。没有资产评估专业知识的买方将在包含更多优质资产的高价市场中进行搜索。另一方面，具有专业知识的买方将在低价市场中进行搜索。低价市场将被更多的不良资产污染，但是购买者可以利用自己的专业知识挑选优质资产并拒绝不良资产。在均衡状态下，卖方与买方见面的可能性降低了要价，由于专家买家的拒绝，对不良资产的卖家进行了进一步配给。该模型预测，不良资产的较大比例与资产流动性恶化和价格分散加剧有关。
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