Agents in financial markets must learn about underlying variables and hence find some patterns of parameter. Learning schemes across agents may be different since agents¡¦ learning procedure depends on their computational technique and their beliefs. This dissertation outlines how agents learn from the actions of others or observe relative information when making trading decisions. If prior or signal follow a normal distribution, the law of standard Gaussian updating can be applied to represent the process of learning by agents. Accordingly, this dissertation use learning and global game technique to solve for the condition of equilibrium, to discuss the problem of eliminating multiplicity and to analyze three topics as follow.
First, how transparency in financial market influences equilibrium condition, ad hoc multiplicity, is rarely to explore. The first part of this dissertation focuses on the market-clearing condition, based on a noisy rational expectations equilibrium and using the global game technique with learning to proposes a policy effect and the variant of equilibrium in financial market. The after which conclusions can be drawn if transparent policy in financial market is implemented. First, all else equal, regardless of the precision of private signals of uninformed traders, financial market transparency cannot prevent from the vanishing of multiplicity under exogenous dividend return. Next, when dividend return is endogenous, the unique equilibrium condition is partly determined by the precision of private signals from uninformed traders rather than perfectly by a policy of market transparency.
Second, politicians and some scholars have advocated that emerging market countries avoid financial instability and reduce multiplicity by restricting capital mobility. Moreover, in the highly sensitized financial markets, information released by the authority is often seen so as to reply rapidly market variety and to correct and remove irrational expectations. The secondary direction of this dissertation employs direct capital mobility controls and informational releases to discuss and compare the variant of equilibrium. A notable finding is that, although direct capital mobility controls and informational releases may successfully reduce capital outflows, direct restrictions on capital mobility are more likely to encourage speculative attack under optimistic signals and are thus more likely to cause multiple equilibriums, ceteris paribus. From a policy perspective, under a signal is optimistic, maintaining uniqueness is more likely when information release is aggressive than when information release is passive or unrestricted on capital mobility, ceteris paribus.
Finally, recent studies about price or crises focus on the different directions or targets of learning. However, the problems that learning may generate endogenous feedback and endogenous coordination incentive and affect market performance are rarely discussed. Hence, the third topic of this dissertation will spotlight learning about aggregating information and observation of market and explain the effect of either coordination incentive or feedback on excess volatility. As a result, feedback effects may result from coordination incentives among agents and more coordination incentives among agents increases the feedback effect. Next, when financial markets are highly liquid or when financial shocks are severe, coordination incentives among agents decline. Excess asset price volatility decreases with either feedback effects or coordination incentives.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-1029108-204158 |
| Date | 29 October 2008 |
| Creators | Hung, Ming-Chun |
| Contributors | Yu-Chuan Huang, David S. Shyu, Jen-Sin Lee, Ho-Chyuan Chen, Ming-Chi Chen |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | English |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-1029108-204158 |
| Rights | restricted, Copyright information available at source archive |
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