Ambiguity and Coordination in a Global. Game Model of Financial Crises

Pré-publication, Document de travail: We consider a two-player global game where creditors, who finance some investment project, have to decide whether to roll over their loans or not. We use a non-Bayesian approach where creditors exhibit some aversion to ambiguity. We show that an increase in ambiguity reduces the perceived coordination of players in rolling over their loans. This contibutes to increasing the probability of a financial crisis, and therefore provides an additional argument in favor of transparency in the model considered.

Auteur(s)

Daniel Laskar

Date de publication
  • 2012
Mots-clés JEL
D81 D82 G01
Mots-clés
  • Financial crises
  • Ambiguity
  • Uncertainty
  • Global games
  • Coordination
  • Transparency
Référence interne
  • PSE Working Papers n°2012-40
Version
  • 1