类型相关情形下具有套利的非线性定价模型  

Nonlinear Pricing with Arbitrage:On the Role of Correlation

作　　者：孟大文[1] 田国强[2] 

机构地区：[1]华东师范大学金融与统计学院,200062 [2]上海财经大学经济学院

出　　处：《经济学（季刊）》2010年第2期909-940,共32页China Economic Quarterly

基　　金：德州农工大学私营企业研究中心和国家自然科学基金(NSFC-70773073)的经费支持;教育部人文社科一般项目(09YJC790184)的经费支持

摘　　要：在代理人类型相关的非线性定价环境中,代理人之间可能结成联盟操纵信息并进行套利,垄断厂商需要设计出同时防范信息操纵和套利的定价合约。对类型相关且代理人数n≥3的情形,Che and Kim（2006）证明了包含信息操纵与套利的合谋行为可以无成本防范。对n=2这一在激励机制设计问题中占有重要地位的情况,本文证明无成本防范这一结论不再成立：信息操纵行为会引起配置效率的扭曲,套利活动会引起配置的进一步扭曲。并且,类型正相关和负相关时配置的扭曲方式不同。负相关时的配置扭曲将随着类型相关度的逐渐减弱而消失,而正相关时的配置扭曲不会随着类型相关度的减弱而消失。扭曲方式的差异导致有套利情形下的配置效率随着信息结构呈现不连续变化。从而,本文也推广了Laffont and Martimort（2000）的类型相关但无套利和Jeon and Manicucci（2005）的存在套利但类型无关情形下的结论。In a nonlinear pricing environment with correlated agent types, the buyers could form coalitions to coordinate their reports and to conduct arbitrage in their purchases. The sellers need to design mechanisms to prevent such collusive behaviors. In the case with more than three agent types, Che and Kim（2006） showed that under quite general conditions, reports manipulation and arbitrage are both preventable at no cost if the agent types are correlated. This paper studies the two-agent collusion-proof implementation problem. We find that collusive behaviors cannot be prevented for free： reports manipulation leads to distortions from the first-best outcome, while arbitrage leads to additional distortions. Furthermore, we find that the distortion patterns are different under positive or negative correlations., with negatively correlated types, the collusion-proof outcome converges to the second-best level as the correlation approaches zero, but with positively correlated types the outcome does not. This paper extends the results of Laffont and Martimort （2000） and Jeon and Manicussi （2005） by considering both arbitrage and correlation.

关 键 词：非线性定价 弱防合谋机制 套利 类型相关 

分 类 号：F830[经济管理—金融学] F224