On Myopic Equilibria in Dynamic Games with Endogenous Discounting
AbstractThis paper derives an equilibrium for a competitive multi-stage game in which an agents' current action influences his probability of survival into the next round of play. This is directly relevant in banking, where a banks' current lending and pricing decisions determines its future probability of default. In technical terms, our innovation is to consider a multi-stage game with endogenous discounting. An equilibrium for such a multi-stage game with endogenous discounting has not been derived before in the literature.
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Bibliographic InfoPaper provided by International Monetary Fund in its series IMF Working Papers with number 06/302.
Date of creation: 01 Dec 2006
Date of revision:
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Other versions of this item:
- Wilko Bolt & Alexander Tieman, 2005. "On Myopic Equilibria in Dynamic Games with Endogenous Discounting," DNB Working Papers 070, Netherlands Central Bank, Research Department.
- C72 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Noncooperative Games
- C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
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- Wilko Bolt & Alexander F. Tieman, 2004.
"Banking Competition, Risk and Regulation,"
Scandinavian Journal of Economics,
Wiley Blackwell, vol. 106(4), pages 783-804, December.
- W. Bolt & A.F. Tieman, 2001. "Banking competition, risk and regulation," DNB Staff Reports (discontinued) 70, Netherlands Central Bank.
- Alexander F. Tieman & Wilko Bolt, 2004. "Banking Competition, Risk, and Regulation," IMF Working Papers 04/11, International Monetary Fund.
- W. Bolt & A. F. Tieman, 2001. "Banking competition, risk, and regulation," WO Research Memoranda (discontinued) 647, Netherlands Central Bank, Research Department.
- Martin J. Osborne & Ariel Rubinstein, 2005. "Bargaining and Markets," Levine's Bibliography 666156000000000515, UCLA Department of Economics.
- Hausken, Kjell, 2005. "The battle of the sexes when the future is important," Economics Letters, Elsevier, vol. 87(1), pages 89-93, April.
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