<p>In many economic settings agents behave strategically. Understanding and, sometimes regulating, that behavior is often crucial to enhance the efficiency with which scarce resources are allocated. A peculiar feature of economics is that cooperation among agents sometimes boosts efficiency, and sometimes hinders it. Social dilemmas, highly ubiquitous in economics, are situations in which cooperation boosts efficiency. Highly concentrated markets where a few firms operate, are situations in which cooperation (also known as collusion) among firms hinders efficiency. In such markets competition, rather than cooperation, boosts efficiency. In this dissertation, I study how uncertainty affects cooperation in social dilemmas, and how the presence of cooperative firms affects competition in concentrated markets.</p> <p><br></p> <p>Both of the settings I study in this dissertation (social dilemmas with noisy payoffs and duopsony with endogenous location and pricing strategy) face a similar challenge. Their complexity compromises the tractability of conventional equilibrium concepts. In other words, Nash equilibria do not exist, or there is a multiplicity of equilibria. This, in turn, precludes comparative static analyses characterizing the effect of exogenous market forces (uncertainty and firm ownership structure) on market and welfare outcomes.</p> <p><br></p> <p>I address this key challenge through a combination of genetic algorithms and laboratory experiments. A genetic algorithm consists of a selection process that identifies strategies that perform better than others, on average. Therefore, surviving strategies constitute, in a sense, average best responses. More than one strategy may survive. This happens when none of the surviving strategies is weakly dominated by the other surviving strategies. An equilibrium is a combination of surviving strategies. In this context, a comparative static analysis consists of the change in equilibrium (combination of surviving strategies) due to a change in exogenous forces. These comparative static analyses generate testable hypotheses. In Essays 1 and 2, I implement laboratory experiments to test these hypotheses.</p> <p><br></p> <p>In Essay 1, I compare infinitely repeated social dilemmas with deterministic and noisy payoffs. I test whether noise in payoffs (where noisy payoffs are generated by a random shock and are uncorrelated amongst agents), which introduces imperfect monitoring, affects cooperation. Experimental evidence shows that imperfect monitoring reduces cooperation because it hinders agents’ ability to threaten defectors with a reciprocal defection. Therefore, noise reduces efficiency by unraveling cooperation in social dilemmas. In Essay 2, I study whether correlation among agents’ noisy payoffs strengthens monitoring and restores cooperation. Experimental evidence shows that stronger (though still imperfect) monitoring due to correlation helps cooperation if and only if agents are prone to cooperate in the initial rounds of the repeated game. Therefore, correlation among shocks affecting agents’ payoffs may or may not increase efficiency depending on the type of players participating in the social dilemma.</p> <p><br></p> <p>Finally, in Essay 3, I use a genetic algorithm to generate comparative statics characterizing the effect of a cooperative firm on market equilibrium and efficiency in a spatial duoposony. A Nash equilibrium in this setting does not exist when location, price, and the degree of spatial price discrimination are all endogenous in the seminal Hotelling’s model. I use a genetic algorithm to identify a stable equilibrium in this setting. I find that a cooperative firm increases efficiency. But, counterintuitively, it does so when the cooperative does not directly compete with the privately owned firm. This is because the cooperative maximizes market share when its procurement region does not overlap with the privately owned firm’s procurement region.</p> <p><br></p>

Submitted by Murilo Resende Ferreira (muriloresende82@gmail.com) on 2014-10-28T15:22:42Z No. of bitstreams: 1 Tesedoutoradomuriloresende.PDF: 806113 bytes, checksum: e6d9cfcc660128de80d20f44f9c5213e (MD5) / Approved for entry into archive by BRUNA BARROS (bruna.barros@fgv.br) on 2014-11-10T11:34:49Z (GMT) No. of bitstreams: 1 Tesedoutoradomuriloresende.PDF: 806113 bytes, checksum: e6d9cfcc660128de80d20f44f9c5213e (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2014-11-13T13:40:01Z (GMT) No. of bitstreams: 1 Tesedoutoradomuriloresende.PDF: 806113 bytes, checksum: e6d9cfcc660128de80d20f44f9c5213e (MD5) / Made available in DSpace on 2014-11-13T13:40:15Z (GMT). No. of bitstreams: 1 Tesedoutoradomuriloresende.PDF: 806113 bytes, checksum: e6d9cfcc660128de80d20f44f9c5213e (MD5) Previous issue date: 2014-06-27 / This thesis contains two chapters, each one dealing with banking theory and the history of financiai arrangements. In Chapter 1, we extend a Diamond and Dybvig economy with imperfect monitoring of early withdrawals and make a welfare comparison between all possible allocations, as proposed by Prescott and Weinberg(2003) [37]. This imperfect monitoring is introduced by establishing indirect communication( trough a mean of payment) between the agents and the machine that is an aggregate of the financiai and the productive sector. The extension consists in studying allocations where a fraction of the agents can exploit imperfect monitoring and defraud the contracted arrangement by consuming more in the early period trough multiple means of payment. With limited punishment in the period of late consumption, this new allocation is called a separating allocation in contrast with pooling allocations where the agent with the ability of fraud is blocked from it by a costly mean of payment or by receiving enough future consumption to make fraud unattractive. The welfare comparison in the chosen range of parameters show that separating allocations are optimal for poor economies and pooling allocations for intermediary and rich ones. We end with a possible historical context for this kind of model, which connects with the historical narrative in chapter 2. In Chapter 2 we explore the quantitative properties of an early warning system for financiai crises based on the boom and bust framework described in more detail in appendix 1. The main variables are: real growth in equity and housing prices, the yield spread between the 10-year government bond and the 3-month interbank rate and the growth in total banking system assets. These variables display a higher degree of correct signals for recent crises (1984-2008) than comparable early warning systerns. Taking into account an increasing base-line risk ( due to increasing rates of credit expansion , lower interest rates and the accumulation of distortions) also proves to be informative and to help signaling crises in countries that did not go trough a great boom in previous years. / Esta tese contém dois capítulos, cada um lidando com a teoria e a história dos bancos e arranjos financeiros. No capítulo 1, busca-se extender uma economia Diamond-Dybvig com monitoramento imperfeito dos saques antecipados e realizar uma comparação do bem estar social em cada uma das alocações possíveis, como proposto em Presscott and Weinberg(2003). Esse monitoramento imperfeito é implementado a partir da comunicação indireta ( através de um meio de pagamento) entre os agentes e a máquina de depósitos e saques que é um agregado do setor produtivo e financeiro. A extensão consiste em estudar alocações onde uma fração dos agentes pode explorar o monitoramento imperfeito e fraudar a alocação contratada ao consumirem mais cedo além do limite, usando múltiplos meios de pagamento. Com a punição limitada no período de consumo tardio, essa nova alocação pode ser chamada de uma alocação separadora em contraste com as alocações agregadoras onde o agente com habilidade de fraudar é bloqueado por um meio de pagamento imune a fraude, mas custoso, ou por receber consumo futuro suficiente para tornar a fraude desinteressante. A comparação de bem estar na gama de parâmetros escolhida mostra que as alocações separadoras são ótimas para as economias com menor dotação e as agregadoras para as de nível intermediário e as ricas. O capítulo termina com um possível contexto histórico para o modelo, o qual se conecta com a narrativa histórica encontrada no capítulo 2. No capítulo 2 são exploradas as propriedade quantitativas de um sistema de previsão antecedente para crises financeiras, com as váriaveis sendo escolhidas a partir de um arcabouço de ``boom and bust'' descrito mais detalhadamente no apêndice 1. As principais variáveis são: o crescimento real nos preços de imóveis e ações, o diferencial entre os juros dos títulos governamentais de 10 anos e a taxa de 3 meses no mercado inter-bancário e o crescimento nos ativos totais do setor bancário. Essas variáveis produzem uma taxa mais elevada de sinais corretos para as crises bancárias recentes (1984-2008) do que os sistemas de indicadores antecedentes comparáveis. Levar em conta um risco de base crescente ( devido à tendência de acumulação de distorções no sistema de preços relativos em expansões anteriores) também provê informação e eleva o número de sinais corretos em países que não passaram por uma expansão creditícia e nos preços de ativos tão vigorosa.

Cette thèse est consacrée à l’étude des interactions entre la théorie des jeux et la théorie de l’information, ainsi qu’à leurs applications aux réseaux de communication décentralisés. D’une part, la théorie des jeux apporte des réponses aux problèmes d’optimisation dans lesquels des agents interagissent. Dans un jeu, les joueurs choisissent des actions et obtiennent des gains appelés utilités. Les hypothèses sur l’information que possèdent les joueurs avant de jouer sont fondamentales pour déterminer l’issue d’un jeu, aussi appelée équilibre. Lorsque le même jeu est répété d’étape en étape et que les joueurs n’observent pas les actions passées parfaitement,alors les utilités d’équilibre ne sont pas connues. D’autre part, la théorie de l’information étudie les performances d’un système communicant. De nos jours, les réseaux de communication sont tellement denses qu’ils ne peuvent plus s’organiser autour d’un unique opérateur central. La théorie des jeux est appropriée pour étudier de nouvelles organisations du traitement de l’information dans lesquelles les décisions sont prises localement. Dans un premier temps, au chapitre3, nous étudions le jeu du contrôle de puissance efficace du point de vue énergétique, grâce aux résultats existants pour les jeux répétés. Les émetteurs sont considérés comme des joueurs et choisissent la puissance d’émission du signal, considérée comme leur action. L’objectif d’un joueur est de choisir une puissance optimale pour la qualité de sa propre communication. Même si les joueurs n’observent pas les actions passées de manière parfaite, nous montrons que l’observation du "ratio signal sur interférence plus bruit" est suffisante pour garantir des résultats d’équilibre optimaux pour le réseau de communication. Dans un second temps, nous utilisons les outils de la théorie de l’information pour approfondir l’étude de la circulation de l’information parmi les joueurs. Dans le chapitre 4, un encodeur envoie un signal supplémentaire aux joueurs afin qu’ils observent parfaitement les actions jouées à l’étape précédente. L’observation des joueurs devient suffisamment précise pour nous permettre de retrouver l’ensemble des utilités d’équilibre du jeu répété. Ces résultats sont à leur tour exploités afin de modéliser des réseaux de communication plus réalistes et d’y apporter des solutions nouvelles. Dans le chapitre5, nous approfondissons l’étude des utilités d’équilibre lorsque les joueurs observent les actions passées à travers un canal d’observation arbitraire. Nous démontrons un résultat d’atteignabilité pour un canal multi-utilisateurs avec états qui comporte un encodeur, deux récepteurs légitimes et un espion. Ce résultat nous permet d’étudier les corrélations entre les suites d’actions qu’un groupe de joueurs peut mettre en oeuvre à l’insu d’un joueur opposant. L’étude des canaux multiutilisateurs est un pas en avant vers la caractérisation des utilités d’équilibre dans un jeu répété avec observation imparfaite. / This thesis is devoted to the study of mutual contributions between games theory and informationtheory and their applications to decentralized communication networks. First, game theoryprovides answers to optimization problems in which agents interact. In a game, players chooseactions and obtains gains called utilities. Assumptions about the information possessed by playersbefore play is fundamental to determine the outcome a game, also called equilibrium. When thesame game is repeated from stage to stage and the players do not observe the past actions perfectly,then the equilibrium utilities are not known. On the other hand, information theory studiesthe performance of a communicating system. Nowadays, communication networks are so densethat they can not organize around a single central operator. Game theory is appropriate to explorenew organizations of communication networks in which decisions are taken locally. At first,in Chapter 3, we study the game of power control in terms of energy efficiency, thanks to theexisting results for repeated games. Transmitters are regarded as players and choose the transmissionpower of the signal, considered as their action. The objective of a player is to choose anoptimal power for the quality of its own communication. The players do not observe the pastactions perfectly, but we show that the observation of the "signal over interference plus noiseratio" is sufficient to ensure optimal equilibrium results for the communication network. In a secondstep, we use the tools of the information theory for further study of the flow of informationamong the players. In Chapter 4, an encoder sends an extra signal to the players so that theyperfectly observe the actions chosen in the previous stage-game. The observation of players issufficiently precise to characterize the set of equilibrium utilities of the repeated game. Theseresults are, in turn, used to model new communication networks and to provide more realisticsolutions. In Chapter 5, we deepen the study of equilibrium utilities when players observe thepast actions to through an arbitrary observation channel. We show a rate region is achievablefor the multi-user channel with states which includes an encoder, two legitimate receivers andan eavesdropper. This result allows us to study the correlations over the sequences of actions agroup of players can implement while keeping it secret from an opponent player. The study ofmulti-user channels is a step towards the characterization of equilibrium utilities in a repeatedgame with imperfect monitoring.