We analyze a kind of speculative-attack on government-bond markets, through Game Theory, applying the Complete Analysis of a Differentiable Game (introduced by David Carfì). We propose a way to stabilize government bonds prices in European “periphery”. We’ll focus on two economic-operators: an Investment Bank, the Speculator, and the European Central Bank. The Speculator, our first player, can influence the market and gain by creating arbitrage opportunities, as the crisis of Euro- bond has shown. In the model, European Central Bank, our second player, purchases government-bonds to stabilize their price and the normative-authority introduces a Tobin- tax on financial transactions preventing only “extra-profits” of speculation.
A quantitative model of speculative attack: game complete analysis and possible normative defenses,
CARFI', David;lanzafame, fabrizio
2013-01-01
Abstract
We analyze a kind of speculative-attack on government-bond markets, through Game Theory, applying the Complete Analysis of a Differentiable Game (introduced by David Carfì). We propose a way to stabilize government bonds prices in European “periphery”. We’ll focus on two economic-operators: an Investment Bank, the Speculator, and the European Central Bank. The Speculator, our first player, can influence the market and gain by creating arbitrage opportunities, as the crisis of Euro- bond has shown. In the model, European Central Bank, our second player, purchases government-bonds to stabilize their price and the normative-authority introduces a Tobin- tax on financial transactions preventing only “extra-profits” of speculation.Pubblicazioni consigliate
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