nonrenewable resource scarcity nonrenewable resource theory often is summarized by hotelling s rule this paper reviews theoretical extensions and empirical investigations of resource extraction models observed data are often inconsistent with the hotelling rule suggesting that other characteristics of nonrenewable resource supply including exploration heterogeneous ore quality technological progress and capital investment are important determinants of the dynamic behavior of resource prices given the persistent recurrence of concern about nonrenewable resource scarcity measures of nonrenewable resource scarcity and the empirical evidence for the time trends of those measures are reviewed finally the implications of nonrenewable resource scarcity for economic growth are examined

moments based spillovers across gold and oil markets abstract in this paper we use intraday futures market data on gold and oil to compute returns realized volatility volatility jumps realized skewness and realized kurtosis using these daily metrics associated with two markets over the period of december 2 1997 to may 26 2017 we conduct linear nonparametric and time varying rolling tests of causality with the latter two approaches motivated due to the existence of nonlinearity and structural breaks while there is hardly any evidence of spillovers between the returns of these two markets strong evidence of bidirectional causality is detected for realized volatility which seems to be resulting from volatility jumps evidence of spillovers are also detected for the crash risk variables i e realized skewness and for realized kurtosis as well with the effect on the latter being relatively stronger based on a moments based test of causality evidence of co volatility is deduced whereby we find that extreme positive and negative returns of gold and oil tend to drive the volatilities in these markets in our robustness check we identify a causal chain in the realized volatility from oil to gold via the financial stress our results have important implications for not only investors but also policymakers

reputation in dynamic games abstract we analyze reputation in a game between a large player and a continuum of long lived small players in which state variables affect players payoffs the large player s type is private information we give conditions under which in every nash equilibrium a very patient large player will get almost the largest payoff consistent with the small players choosing a best response in a large finite truncation of the game while our results apply to the time inconsistency problem of optimal government policy we show that for the durable goods monopoly reputation may fail to improve the monopolist s payoff journal of economic literatureclassification numbers c72 c73

answering the skeptics yes standard volatility models do provide accurate forecasts a voluminous literature has emerged for modeling the temporal dependencies in financial market volatility using arch and stochastic volatility models while most of these studies have documented highly significant in sample parameter estimates and pronounced intertemporal volatility persistence traditional ex post forecast evaluation criteria suggest that the models provide seemingly poor volatility forecasts contrary to this contention we show that volatility models produce strikingly accurate interdaily forecasts for the latent volatility factor that would be of interest in most financial applications new methods for improved ex post interdaily volatility measurements based on high frequency intradaily data are also discussed

oil and foreign exchange market tail dependence and risk spillovers for mena emerging and developed countries vmd decomposition based copulas abstract this paper examines the short and medium run dependence structures between oil and currency markets for mena other developing and developed countries using a novel multiresolution decomposition method namely the variational mode decomposition vmd along with a battery of time invariant and time varying symmetric and asymmetric copula functions further we assess the downside and upside short and medium run risk spillovers from oil to u s exchange rate returns and vice versa by computing the conditional value at risk covar risk measures before the copula estimations we apply the spillover index of diebold and yilmaz 2012 and network diagrams to identify and select the currencies that are the most significant net contributors or net receivers of returns from to the oil currency markets the copula results show strong evidence of time varying and high average tail dependence between oil returns and the fx markets which are net transmitters to oil for the short and medium time horizons on the other hand we find average and relatively low dynamic dependence between oil and the net receiver currencies regardless of the time horizons moreover there is evidence of up and down risk asymmetric systemic risks from oil to currencies and vice versa for some countries in the short and medium run horizons finally the risk spillovers are asymmetric over time and investment horizons these results have several important implications for hedging strategies and diversification benefits for oil and fx traders and institutional investors

commitment and compromise in bargaining abstract this paper studies observable and irrevocable commitment in bargaining we investigate when commitment tactics can cause an impasse and when compromise is feasible in the static model in which a player s commitment decision is made simultaneously with his choice of bargaining stance compromise becomes unattainable ellingsen and miettinen 2008 we first analyze a static bargaining model in which the players decide whether to attempt commitment after announcing their demands in contrast to the aforementioned strong result our model accommodates both incompatible commitments and compromises as equilibrium outcomes we then extend our analysis to a dynamic setting it is shown that compromise is possible if the players can alter their demands quickly and the chances of successful commitment are low

reputation and dynamic stackelberg leadership in infinitely repeated games abstract the paper studies a repeated game in which a long run player without discounting faces another long run player with strict discounting the game is perturbed so that there is uncertainty in the patient player s strategy choice she may be a rational player but she may also be one of many irrational types who are committed to various repeated game strategies the rational patient player s equilibrium payoff in this perturbed game is analyzed in particular it is shown that the lower bound on her payoff in the set of extensive form trembling hand perfect equilibria is given by her stackelberg payoff in a dynamics sense journal of economic literature classification numbers c72 d82

bargaining with two sided incomplete information an infinite horizon model with alternating offers this paper examines an infinite horizon bargaining model incorporating five features two sided incomplete information with potentially information revealing strategies an infinite horizon uncertainty concerning the potential gains from trade an illumination of interesting qualitative bargaining issues and plausible free from arbitrarily specified out of equilibrium conjectures equilibria these features motivated in the paper have powerful implications a nash equilibrium exists and is generically both unique and sequential comparative static implications of variations in the game s specifications are developed we find that natural indications of bargaining strength emerge from the model and establish the intuitive result that an increase in a player s relative bargaining strength makes that player more likely to capture the gains from bargaining

the war of attrition in continuous time with complete information this paper provides a complete characterization of the nash equilibrium outcomes for the war of attrition when time is continuous and information is complete it allows for asymmetric payoffs and an arbitrary time horizon in addition to certain asymme tric pure strategy equilibria that always exist the authors establi sh the conditions under which there is also a continuum of mixed strategy equilibria these are most likely to exist when either the horizon is infinite or the game is symmetric copyright 1988 by economics department of the university of pennsylvania and the osaka university institute of social and economic research association

optimal stalling when bargaining this paper analyzes an alternating offer model of bargaining over the sale of an asset in a market such as that for housing in which another agent may come and compete for the right to strike a deal the analysis allows the buyer and seller to have possibly differing views as to how likely such a competition is hence the buyer and the seller disagree about their respective bargaining powers these views adjust to market realizations as the parties learn it is shown that there exists a unique subgame perfect equilibrium which can be explicitly constructed hence conditional on market conditions equilibrium prices and optimal stall lengths that is delay can be found bargaining delay can only occur if there is optimism not pessimism and only if the parties are open to learning as time elapses this delay can occur even for very small levels of optimism and the delay can be for economically significant periods

foundations of dynamic monopoly and the coase conjecture subgame perfect equilibria are characterized for a market in which the seller quotes a price each period assume zero costs positive interest rate continuum of buyers and some technical conditions if buyers valuations are positive then equilibrium is unique buyers strategies are stationary and the price sequence is determinant along the equilibrium path but possibly randomized elsewhere otherwise a continuum of stationary equilibria can exist but at most one with analytic strategies coase s conjecture is verified for stationary strategies reducing the period length drives all prices to zero or the least valuation connections to bargaining models are described journal qf economic literature classification

metal volatility in presence of oil and interest rate shocks abstract this study uses three two factor volatility models of the garch family to examine the volatility behavior of three strategic commodities gold silver and copper in the presence of crude oil and interest rate shocks the results of the standard garch models suggest that gold and silver have almost the same volatility persistence which is greater than that of copper the cgarch estimates indicate that the short run transitory component of volatility converges to zero much faster for copper than for gold and silver in this sequence however the permanent volatility component demonstrates equally strong persistence in the long run for all three metals the egarch results suggest that the leverage effect is present and significant for copper only implying that gold and silver can be good investment in anticipation of bad times past oil shock does not impact all three metals similarly monetary policy and to leaser extent the oil shocks have calming effects on precious metals but not on copper if the t bill rate is used crises such as the 2003 iraq war heighten metal volatility these results have implications for derivatives valuations using gold as a reserve asset risk analysis and for the commodity exporting countries and commodity producing firms

reputation and imperfect information abstract a common observation in the informal literature of economics and elsewhere is that is multistage games players may seek early in the game to acquire a reputation for being tough or benevolent or something else but this phenomenon is not observed in some formal game theoretic analyses of finite games such as selten s finitely repeated chain store game or in the finitely repeated prisoners dilemma we reexamine selten s model adding to it a small amount of imperfect or incomplete information about players payoffs and we find that this addition is sufficient to give rise to the reputation effect that one intuitively expects

roughing it up including jump components in the measurement modeling and forecasting of return volatility a rapidly growing literature has documented important improvements in financial return volatility measurement and forecasting via use of realized variation measures constructed from high frequency returns coupled with simple modeling procedures building on recent theoretical results in barndorff nielsen and shephard 2004a 2005 for related bi power variation measures the present paper provides a practical and robust framework for non parametrically measuring the jump component in asset return volatility in an application to the dm exchange rate the s p500 market index and the 30 year u s treasury bond yield we find that jumps are both highly prevalent and distinctly less persistent than the continuous sample path variation process moreover many jumps appear directly associated with specific macroeconomic news announcements separating jump from non jump movements in a simple but sophisticated volatility forecasting model we find that almost all of the predictability in daily weekly and monthly return volatilities comes from the non jump component our results thus set the stage for a number of interesting future econometric developments and important financial applications by separately modeling forecasting and pricing the continuous and jump components of the total return variation process

gold oil dependence dynamics and the role of geopolitical risks evidence from a markov switching time varying copula model abstract this paper examines the dependence structure and dynamics between gold and oil prices specifically we study the hedge and safe haven ability of gold for oil prices using daily gold prices and west texas intermediate institute wti crude oil spot prices to this end we employ time varying markov switching copula models the period of the analysis spans from 2 january 1985 to 30 november 2017 the heterogeneity of market agents is captured by decomposing the raw original series into different multi resolution analysis mra investment horizons d1 s9 furthermore we examine the effect of geopolitical risks on the dynamic dependence between gold and oil we provide evidence of time varying markov tail dependence structure and dynamics between gold and oil while our results show that gold is a good hedge for oil returns and for short and medium term investors it cannot protect long term investors against losses arising from increasing oil prices we also provide evidence in support of the safe haven ability of gold for oil moreover we show that the inclusion of geopolitical risks in a pure gold and oil asset portfolio provides diversification benefits since the former has mostly a negative effect on the dependence structure between gold and oil

bargaining and reputation the paper develops a reputation based theory of bargaining the idea is to investigate and highlight the influence of bargaining postures on bargaining outcomes a complete information bargaining model a la rubinstein is amended to accommodate irrational types who are obstinate and indeed for tractability assumed to be completely inflexible in their offers and demands a strong independence of procedures result is derived after initial postures have been adopted the bargaining outcome is independent of the fine details of the bargaining protocol so long as both players have the opportunity to make offers frequently the latter analysis yields a unique continuous time limit with a war of attrition structure in the continuous time game equilibrium is unique and entails delay consequently inefficiency the equilibrium outcome reflects the combined influence of the rates of time preference of the players and the ex ante probabilities of different irrational types as the probability of irrationality goes to zero delay and inefficiency disappear furthermore if there is a rich set of types for both agents the limit equilibrium payoffs are inversely proportional to their rates of time preference

dynamics of oil price precious metal prices and exchange rate this study examines the co movements and information transmission among the spot prices of four precious metals gold silver platinum and palladium oil price and the us dollar euro exchange rate we find evidence of a weak long run equilibrium relationship but strong feedbacks in the short run the spot precious metal markets respond significantly but temporarily to a shock in any of the prices of the other metal prices and the exchange rate furthermore we discover some evidence of market overreactions in the palladium and platinum cases as well as in the exchange rate market in conclusion whether there are overreactions and re adjustments or not investors may diversify at least a portion of the risk away by investing in precious metals oil and the euro policy implications are provided

bargaining with incomplete information an infinite horizon model with two sided uncertainty the resolution of any bargaining conflict depends crucially on the relative urgency of the agents to reach agreement and the information each agent has about the others preferences this paper explores within the context of an infinite horizon bargaining model with two sided uncertainty how timing and information affect the rational behaviour of agents when commitment is not possible since the bargainers are uncertain about whether trade is desirable they must communicate some of their private information before an agreement can be reached this need for learning due to incomplete information about preferences results in bargaining inefficiencies trade often occurs after costly delay thus the model provides an explanation for the inefficient bargaining behaviour that appears to occur often in practice

bargaining with imperfect commitment abstract we study the effect of imperfect commitment in noncooperative two person bargaining games by establishing the reputation for being stubborn a player sometimes commits to her initial demand becoming unable to change her demands or to accept an inferior offer from her opponent when the probability of being stubborn is small the set of equilibria is shown to be small and agreement may be reached immediately despite the possibility of stubbornness a player has greater bargaining power when she is more patient and or is more likely to be stubborn journal of economic literature classification number c78

reputation in bargaining and durable goods monopoly this paper analyzes durable goods monopoly in an infinite horizon discrete time game we prove that as the time interval between successive offers approaches zero all seller payoffs between zero and static monopoly profits are supported by subgame perfect equilibria this reverses a well known conjecture of coase alternatively one can interpret the model as a sequential bargaining game with one sided incomplete information in which an uninformed seller makes all the offers our folk theorem for seller payoffs equally applies to the set of sequential equilibria of this bargaining game

delays and partial agreements in multi issue bargaining abstract we model a situation in which two players bargain over two pies one of which can only be consumed starting at a future date suppose the players value the pies asymmetrically one player values the existing pie more than the future one while the other player has the opposite valuation we show that players may consume only a fraction of the existing pie in the first period and then consume the remainder of it along with the second pie at the date at which the second pie becomes available thus our model features a special form of bargaining delay in which agreements take place in multiple stages such partial agreements arise when players are patient enough when they expect the second pie to become available soon and when the asymmetry in their valuations is large enough

contract negotiation and the coase conjecture a strategic foundation for renegotiation proof contracts what does contract negotiation look like when some parties hold private information and negotiation frictions are negligible this paper analyzes this question and provides a foundation for renegotiation proof contracts in this environment the model extends the framework of the coase conjecture to situations in which the quantity or quality of the good is endogenously determined and to more general environments in which preferences are nonseparable in the traded goods as frictions become negligible all equilibria converge to a unique outcome which is separating efficient and straightforward to characterize

maintaining a reputation against a long lived opponent we consider a game between a patient player 1 and a nonmyopic but less patient opponent player 2 as usual in reputation models we suppose that the patient player s type is private information and that he may be a commitment type who is locked into playing a particular strategy we investigate the extent to which an uncommitted or normal type of patient player can exploit his less patient opponent s uncertainty to maintain a reputation for playing like a commitment type

the dependence structure across oil wheat and corn a wavelet based copula approach using implied volatility indexes abstract this paper examines the dependence structure between three commodities implied volatility indexes oil wheat and corn during bear normal and bull markets and at different scales for this purpose we combine wavelet and copula methods to analyse the changes of the tail dependence at different scales or investment horizons the results support evidence of time varying asymmetric tail dependence between the pair of cereals as well as between oil and the two cereals at different time horizons short term horizon medium term horizon and long term horizon suggesting that the dependence structure is sensitive to time horizons these results have important implications for the analysis of portfolio risk management

durable goods monopoly with incomplete information this article reconsiders the durable goods monopoly problem when the monopolist s marginal cost is private information we show that the coase conjecture implies the no trade theorem in any equilibrium in which the lowest cost seller s initial offer approaches her marginal cost the aggregate probability of trade must vanish however we also construct non coasean equilibria which approximate the unique outcome of the rental version of the same model these stationary equilibria are comparatively efficient the results are equally applicable to the mathematically equivalent problem of sequential bargaining with two sided incomplete information where one party makes all the offers what are the consequences of monopoly in a market for a durable good present day understanding of this question divides into two strands of thought first the monopolist may effectively lack any ability to credibly precommit on her future output under this scenario the price will drop almost instantaneously to marginal cost apparently yielding the efficient outcome normally associated with perfect competition 1 second the monopolist may possess an explicit e g leasing the good rather than selling2 or implicit e g the maintenance of reputation3 device enabling her to adhere to an output restriction under such circumstances price will be maintained at a non competitively high level suggesting an outcome fraught with all the inefficiency of classical monopoly the conclusions of the first paragraph rest on analysis of a standard model in which the monopolist s payoff function is taken to be common knowledge a single firm with known constant marginal cost sells an infinitely durable good to consumers with a known distribution of valuations for the good 4 the firm has the ability to revise its posted price

a sequential concession game with asymmetric information the essence of the situation to be studied here is this two players are involved in a conflict that can be resolved in only two possible ways each player favors a different outcome during the bargaining phase which lasts until some finite time to each player has the option to concede if none concedes the game ends at time t in a way that is known to one of the players from the beginning of the game the other player is uncertain about the outcome time is valuable but each player prefers to receive his favored outcome at m than to concede immediately thus the game analyzed here is characterized by the asymmetric information about the outcome at the end point i e at time to whereas one player is perfectly informed about the possible outcome the other is compelled to deduce the information from the actions of his informed opponent the latter in turn can try to exploit his initial advantage by manipulating the flow of information for example the informed player may adopt a tough stance in order to create the impression that he is not afraid of forcing the resolution of the conflict at to and thereby builds his reputation at the same time the uninformed player by not conceding can test the opponent s resolve this brief description suggests that the problem analyzed here is a variant of the game of attrition 2 however our problem differs from the standard game of attrition in two respects first we formulate the game in discrete time which has important analytic consequences these are fully developed in hendricks and wilson 1985 second and more important perhaps we study

alternating offer bargaining with two sided incomplete information i study alternating offer bargaining games with two sided incomplete information about the players discount rates for both perfect bayesian equilibrium and a rationalizability style notion i characterize the set of expected payoffs which may arise in the game i also construct bounds on agreements that may be made the set of expected payoffs is easy to compute and incorporate into applied models my main result is a full characterization of the set of perfect bayesian equilibrium payoffs for games in which the distribution over the players discount rates is of wide support yet is in a weak sense close to a point mass distribution i prove a lopsided convergence result each player cannot gain from a slight chance that she is a strong type but the player can suffer greatly if there is a slight chance that she is a weak type

gambling reputation repeated bargaining with outside options we study the role of incomplete information and outside options in determining bargaining postures and surplus division in repeated bargaining between a long run player and a sequence of short run players the outside option is not only a disagreement point but reveals information privately held by the long run player in equilibrium the uninformed short run players offers do not always respond to changes in reputation and the informed long run player s payoffs are discontinuous the long run player invokes inefficient random outside options repeatedly to build reputation to a level where the subsequent short run players succumb to his extraction of a larger payoff but he also runs the risk of losing reputation and relinquishing bargaining power we investigate equilibrium properties when the discount factor goes to 1 and when the informativeness of outside options diffuses in both cases bargaining outcomes become more inefficient and the limit reputation building probabilities are interior publication abstract

world oil prices precious metal prices and macroeconomy in turkey we examine the long and short run transmissions of information between the world oil price turkish interest rate turkish lira us dollar exchange rate and domestic spot gold and silver price we find that the world oil price has no predictive power of the precious metal prices the interest rate or the exchange rate market in turkey the results also show that the turkish spot precious metals exchange rate and bond markets do not also provide information that would help improve the forecasts of world oil prices in the long run the findings suggest that domestic gold is also considered a safe haven in turkey during devaluation of the turkish lira as it is globally it is interesting to note that there does not seem to be any significant influence of developments in the world oil markets on turkish markets in the short run either however transitory positive initial impacts of innovations in oil prices on gold and silver markets are observed the short run price transmissions between the world oil market and the turkish precious metal markets have implications for policy makers in emerging markets and both local and global investors in the precious metals market and the oil market

prospect theory in a dynamic game theory and evidence from online pay per bid auctions abundant evidence exists that expected utility theory does not adequately describe decision making under risk although prospect theory is a popular alternative it is rarely applied in strategic situations in which risk arises through individual interactions this study fills this research gap by incorporating prospect theory preferences into a dynamic game theoretic model using a large field data set from multiple online pay per bid auction sites the authors empirically show that their proposed model with prospect theory preferences makes a better out of sample prediction than a corresponding expected utility model prospect theory also provides a unified explanation for two behavioral anomalies average auctioneer revenues above current retail prices and the sunk cost fallacy the empirical results indicate that bidders are loss averse and overweight small probabilities such that the expected revenue of the auction exceeds the current retail price by 25 46 the authors illustrate and empirically confirm a managerial implication for how an auctioneer can increase revenue by changing the details of the auction design

a non cooperative bargaining model with strategically timed offers abstract rubinstein s alternating offers bargaining model is enriched by allowing players to choose when and whether or not to make an offer time is continuous and players make offers whenever they wish it is assumed that upon making an offer players must wait a fixed amount of time before making another it is shown that if players can react arbitrarily quickly to their opponent s offers then all subgame perfect equilibrium outcomes are rubinstein like in particular efficient however if it takes time to react then some delay can be supported this potential delay becomes arbitrarily large as reaction times increase journal of economic literature classification numbers c78 c72

commitment and conflict in bilateral bargaining building on crawford 1982 we study a model of bilateral bargaining in which negotiators can make binding commitments at a low positive cost c our primary solution concept is iterated strict dominance if commitment attempts never fail there are three solutions in two solutions all the surplus goes to one player in the third solution there is a high probility of con ict if commitment attempts succeed with probability q 1 the unique solution entails con ict with probability q 2 when c 0 analogous results hold if the requirement of iterated strict dominance is replaced by iterated weak dominance

predation reputation and entry deterrence abstract economists often argue that predatory practices are irrational since there exist cheaper or more certain means to gain or maintain a monopoly our gametheoretic equilibrium analysis suggests that if a firm is threatened by several potential entrants then predation may be rational against early entrants even if it is costly when viewed in isolation because it yields a reputation which deters other entrants asymmetric information plays a crucial role in our analysis since it provides the rationale for entrants to base their expectations of the firm s future behavior on its past actions the analysis also suggests methods to treat general reputational phenomena

games of perfect information predatory pricing and the chain store paradox the thesis of this paper is that finite noncooperative games possessing both complete and perfect information ought to be treated like one player decision problems that is players ought to assign at every move subjective probabilities to every subsequent choice in the game and ought to make decisions via backward induction this view is in contrast with the gametheoretic approach of nash equilibrium after expanding on this view for games in the abstract in sections 2 and 3 attention is turned in section 4 to an example due to reinhard selten called the chain store paradox which possesses the flavor of a situation involving a predatory pricing monopolist it is argued that for the chain store game the decision analytic approach leads under certain assumptions to more realistic outcomes than the standard nash equilibrium approach

a bargaining model with incomplete information about time preferences etude d un jeu de negociation strategique sequentiel avec information incomplete caracterisation d une classe d equilibres sequentiels appeles equilibres sequentiels de negociation et demonstration de l unicite de cet equilibre

reputation and equilibrium characterization in repeated games with conflicting interests a two person game is of conflicting interests if the strategy to which player one would most like to commit herself holds player two down to his minimax payoff suppose there is a positive prior probability that player one is a commitme nt type who will always play this strategy then player one will get a t least her commitment payoff in any nash equilibrium of the repeated game if her discount factor approaches one this result is robust against further perturbations of the informational structure and in striking contrast to the message of the folk theorem for games with incomplete information copyright 1993 by the econometric society

rent seeking and surplus destruction in unanimity bargaining abstract in non cooperative bargaining games in the tradition of rubinstein the proposer s bargaining power stems from the prospect of a delay in case of disagreement since players are impatient this delay is costly for everyone we consider a unanimity bargaining game in which the proposer can strategically choose the length of this delay we assume that the size of the surplus depends endogenously on the chosen length of the prospective delay intuitively the proposer faces the following trade off the more he exploits his proposer power the smaller is the surplus that can be divided one interpretation is that aggressive bargaining tactics hurt the fruitful cooperation among players and thus the surplus we characterize stationary equilibrium strategies and payoffs and obtain sharp predictions on the extent of surplus destruction the size of the social loss and the surplus allocation

uncertainty and delay in bargaining this paper investigates the relationship between uncertainty and delay of agreement in the one sided offer bargaining model with two sided uncertainty where the seller makes offers we construct a weak stationary equilibrium in which different types of the seller charge different prices in every period we completely characterize the separating equilibrium by three regularity conditions and show that the time interval between offers converges to zero the seller s initial price offer in a separating equilibrium converges with probability 1 to the lowest valuation of the buyer if and only if the gain from trading is common knowledge we have witnessed a proliferation of sequential bargaining models that with a few remarkable exceptions fudenberg and tirole 1983 cramton 1984 and chatterjee and samuelson 1987 are based on models with one sided uncertainty the importance of studying bargaining models with one sided uncertainty is that despite their highly special informational structure we can derive valuable insights into the role of uncertainty in the delay in reaching an agreement while keeping the computational exercise tractable however the assumption of one sided uncertainty essentially excludes the situation where the buyer s actual reservation value is lower than the seller s actual reservation value though they are still engaged in the bargaining process the primary objective of this paper is to investigate the role of uncertainty about the gain from trading in a sequential bargaining model with two sided incomplete information in the models with one sided incomplete information important studies fudenberg levine and tirole 1985 and gul sonnenschein and wilson 1986 are often based on weak stationary equilibria where the equilibrium strategy of each player only depends upon the posterior conjecture about the other player and the previous period s offer although the importance of two sided uncertainty and the weak stationary equilibrium is well recognized previous research on sequential bargaining models has not combined the two features within the same framework studies on the models under two sided uncertainty have not focused on weak stationary equilibria for example cramton 1984 computes a specific sequential equilibrium with interesting properties in which the equilibrium strategies of both players depend upon histories in a rather complex fashion on the other hand it is only in models under one sided uncertainty that the weak stationary equilibrium has been extensively studied this paper computes and analyzes the weak stationary equilibria in a model under two sided uncertainty in order to investigate the effect of uncertainty on the delay in agreement we will extend the results from previous studies of one sided uncertainty models the computation of the equilibrium in models with two sided uncertainty is generally very complicated furthermore we must identify a sensible outcome if more than one equilibrium exists in the model to simplify the analysis we choose a standard bargaining

bargaining under two sided incomplete information the unrestricted offers case chatterjee and samuelson chatterjee k l samuelson 1987 bargaining with two sided incomplete information an infinite horizon model with alternating offers rev econ stud 54 175 192 recently examined a noncooperative game theoretic bargaining model with two sided incomplete information and an infinite horizon results were obtained from the model with the help of restrictions on agents strategies this paper examines the model without these restrictions by doing so we will gain some insight into whether these results are robust in the sense that they do not depend upon the special structure of the model and hence might provide useful theoretical foundations for applied work we find that the basic results generalize as with the restricted model we find an equilibrium in which bargaining will proceed for a finite but endogeneously determined number of stages a terminal condition on the equilibrium sequence of agents beliefs determines the properties of the equilibrium and allows compar

collusion with persistent cost shocks we consider a dynamic bertrand game in which prices are publicly observed and each firm receives a privately observed cost shock in each period although cost shocks are independent across firms within a firm costs follow a first order markov process we analyze the set of collusive equilibria available to firms emphasizing the best collusive scheme for the firms at the start of the game in general there is a trade off between productive efficiency whereby the low cost firm serves the market in a given period and high prices we show that when costs are perfectly correlated over time within a firm if the distribution of costs is log concave and firms are sufficiently patient then the optimal collusive scheme entails price rigidity firms set the same price and share the market equally regardless of their respective costs when serial correlation of costs is imperfect partial productive efficiency is optimal for the case of two cost types first best collusion is possible if the firms are patient relative to the persistence of cost shocks but not otherwise we present numerical examples of first best collusive schemes

a multistage model of bargaining this paper presents a simple multistage model of bargaining wherein a seller makes an offer that can be either accepted or refused if rejected the process continues how the seller s ability to make commitments affects bargaining outcomes is analysed by comparing the commitment equilibria to those arising when commitment is impossible the effects of increasing uncertainty about preferences and varying the length of the bargaining horizon are analysed the ways in which the bargaining environment can be changed to improve outcomes are discussed

on delay in bargaining with one sided uncertainty recently attention has been given to a model of two person bargaining in which the parties alternate making offers and there is uncertainty about the valuation of one party the purpose of the analysis has been to identify delay to agreement with a screening process where agents with relatively lower valuations distinguish themselves by waiting longer to settle we point out a fundamental difficulty with this program by demonstrating that the assumptions used in the literature allow for delay only in so far as the time between offers is significant

diversifying away the risk of war and cross border political crisis this paper investigates the behavior of crude oil prices government bonds and stock market indices around outbreaks of severe international crises and wars using a constant mean return event study we show that these events are associated with positive and significant abnormal returns on oil and bonds which means that these two asset classes can potentially shelter shareholders from plummeting equity values during international crises a formal safe haven analysis confirms this insight such price movements may reflect a reallocation of funds across asset classes in response to the events as well as shifts in the demand for oil due to precautionary speculative and military motives we also calculate the weights for optimal portfolios which could provide insurance against conflict risk

strategic delay in bargaining this paper analyses a bargaining model with incomplete information in which the time between offers is an endogenous strategic variable we find equilibria involving a delay to agreement that is due to the use of strategic time delay by bargainers to signal their relative strength under some specifications of the parameters delay is present in the unique sequential equilibrium whose beliefs satisfy one intuitive restriction this delay does not vanish as the minimal time between offers becomes small