Ambiguity, Pessimism, Optimism and Financial Crises in a Simple Global Game Model

Daniel Laskar (1, 2)

1 PSE - Paris School of Economics
2 PSE - Paris-Jourdan Sciences Economiques

We use a non-Bayesian approach to uncertainty which allows for both optimism and pessimism in a simple global game, where each signal can exhibit a bias which is ambiguous. We underline a symmetry between two models of financial crises: a liquidity crisis model, and a currency crisis model. We show that one model with pessimism becomes similar to the other model with optimism, and vice versa, which leads ambiguity to have opposite effects in the two models. We can also rationalize non-neutral effects of shifts in "market sentiment" in these models.

Mots clés: Persistence; Global game; Financial crises; Ambiguity; Optimism; Pessimism; Market sentiment; Coordination

Domaines: Economies et finances

Daniel Laskar. Ambiguity, Pessimism, Optimism and Financial Crises in a Simple Global Game Model. 2013. ⟨hal-00811923⟩