金融挤兑的一种博弈模型描述与贝叶斯纳什均衡的唯一性.docVIP

PAGE 1 PAGE 18 2002《管理科学论坛》 （4）交流论文 金融挤兑的一种博弈论模型描述与 贝叶斯纳什均衡的唯一性 蒲勇健* 蒲勇健，重庆大学经济与工商管理学院副院长兼金融系主任，教授，博士生导师。 电话：023H)，023O) 手机 Email:puyjan@public.cta.cq.cn 邮编：400044 （重庆大学工商管理学院，重庆 400044） 摘要 本文通过在完全信息博弈论模型中引入噪声的方法成功地消除了纳什均衡的多重性，并获得一个可以预言大多数情形真实均衡状态的不完全信息博弈模型。该模型同时还能估计金融挤兑或金融危机发生的概率。本文获得的一个重要且深刻的结果是金融危机或挤兑的发生通常是基于宏观经济参数自身发生向坏的方向出现逆转后引起公众心理预期发生“自我实现”式的调整，从而触发产生的。这种机制对现有的关于金融危机或挤兑的两种发生说即“自我实现”理论与“经济参数变更”理论进行了综合协调，即“经济参数变更”是原因，“自我实现”的心理协动是机制，金融危机或挤兑是结果。本文提出的方法与思路可以推广到更为一般化的情形对博弈模型中的纳什均衡多重性加以消除，以及用于研究金融市场的波动甚至金融资产的定价等。 关键词：博弈论，金融，数理经济，数理金融，信息经济学 A game theory model on the financial crisis with an unique Bayesian Nash equilibrium PU Yong-jiang (College of Business Administration ,Chongqing University, Chongqing 400044) Abstract An uncomplete information game theory model which predicts the usual situation in the behaviors of investors as a Nash equilibrium has been advanced in this paper. By employing a drawing into the complete information game theory model a small white noise, we removed the multiple Nash equilibrium in the original model. At the same time, the model could give a estimation for the probability of financial crisis. The important and profound result achieved in this paper is that usually a financial crisis would happen when macro— economy parameters varys harmfully and so after that the self—fulfilling effect appears which sparks a financial crisis. There are two economic theories of financial crisis up to now, one of it is “economy parameter varying” theory and the other is “self—fulfilling effect” theory. The two theories appeared contradictory each other, and have been coordinated in this model. The model says that “economy parameter varying” is the cause, “self—fulfilling effect” is the mechanism and financial crisis is the result. The method advanced in this paper may be extended for more general situations for the elimination of multiple Nash equilibrium in game theory model, and also