论文标题
金融网络的奖励意识模型
Incentive-Aware Models of Financial Networks
论文作者
论文摘要
金融网络可帮助公司管理风险，但也使财务冲击能够传播。尽管其重要性，但现有的金融网络模型仍有几个局限性。先前的工作通常考虑具有简单结构（例如环）或在边缘之间有条件独立的模型的静态网络。我们提出了一个新的模型，该模型是从异质效用最大化公司之间的相互作用中出现的。边缘对应于一对公司之间的合同协议，合同规模为边缘权重。我们表明，几乎总是有一个独特的“稳定网络”。该稳定网络中的所有边缘权重取决于所有公司的信念。此外，公司可以通过迭代成对谈判找到稳定的网络。当信念发生变化时，稳定的网络会发生变化。我们表明，在现实的设置下，监管机构无法固定导致网络变化的变化信念。而且，每个公司都可以利用网络的看法来告知其信念。例如，它可以检测出信仰偏离同龄人的离群公司。但是它无法确定偏见的信念：寻求风险的增加与预期利润增加是无法区分的。看似较小的新闻可能会解决困境，从而引发网络的重大变化。
Financial networks help firms manage risk but also enable financial shocks to spread. Despite their importance, existing models of financial networks have several limitations. Prior works often consider a static network with a simple structure (e.g., a ring) or a model that assumes conditional independence between edges. We propose a new model where the network emerges from interactions between heterogeneous utility-maximizing firms. Edges correspond to contract agreements between pairs of firms, with the contract size being the edge weight. We show that, almost always, there is a unique "stable network." All edge weights in this stable network depend on all firms' beliefs. Furthermore, firms can find the stable network via iterative pairwise negotiations. When beliefs change, the stable network changes. We show that under realistic settings, a regulator cannot pin down the changed beliefs that caused the network changes. Also, each firm can use its view of the network to inform its beliefs. For instance, it can detect outlier firms whose beliefs deviate from their peers. But it cannot identify the deviant belief: increased risk-seeking is indistinguishable from increased expected profits. Seemingly minor news may settle the dilemma, triggering significant changes in the network.
