行为金融学 讲座5.pdf

14.127 Lecture 5 Xavier Gabaix March 4, 2004 0.1 Welfare and noise. A compliment • Two firms produce roughly identical goods • Demand of firm 1 is D = P (q − p + σε q − p + σε ) 1 1 1 2 2 where ε1, ε2 are iid N (0, 1) . • Thus � √ � D = P (p − p σ (ε − ε )) = P p − p σ 2η 1 2 1 1 2 2 1 � � � � p2 − p 1 p2 − p 1 √ √ = P η = Φ σ 2 σ 2 where η is N (0, 1) and Φ = 1 − Φ, with Φ cdf of N (0, 1) • Unlike in ε ≡ 0 case, here the demand is not dramatically elastic • Slope of demand at the symmetric equilibrium p 1 = p2 � � � � ∂ ∂ p2 − p 1 p2 − p 1 1 √ √ √ − D1 = − Φ = φ ∂p1 ∂p1 σ 2 σ 2 σ 2 1 √ = φ (0) σ 2 and “modified” elasticity 1 ∂ 1 √π √ η = − D1 = φ (0) = D1 ∂p1 σ 2 σ 1 because D1 = 2 . • When σ → 0 then η → ∞. Even though the “true” elasticity is ∞ the measured elasticity is lower