Head of Bocconi Research Unit
Alfredo Di Tillio (Università Bocconi)
Piero Gottardi (Università Ca' Foscari, Venezia)
Nenad Kos (Università Bocconi)
Matthias Messner (Università Bocconi)
This research unit is part of the research project Imperfect Information, Adjustment Costs and Allocative Efficiency, which consists of 6 Research Units coordinated by Francesco Lippi (Università degli Studi di Sassari).
The project proposes a contractual approach to financial markets in order to analyze the allocative inefficiencies of the equilibrium outcomes in environments with limited information and propose rigorously (micro)-founded policy measures.
The first part of the project aims at studying the optimal taxation of trades in assets in a moral hazard insurance environment where the information available to the government and to insurance firms is restricted. In addition to the agents' private information over their actions, the lack of exclusivity in contracts and the unobservability of agents' trades in the markets induce important limitations both to the insurance arrangements available in the market and to the instruments available to the government.
We intend to characterize the properties of optimal taxes on asset trades both in the case where the government's information allows the provision of public insurance and when it doesn't allow it. In the environment considered a complementarity between markets and government may arise so that the role of taxes is not to close down markets but rather to exploit the trades carried out in the markets.
The second part of the research project studies the consequences of asymmetric information in markets characterized by uncertainty (or ambiguity) averse agents. In particular the focus is on the design of optimal contracts and on the measurement of the allocative distortions brought about by asymmetric information. We innovate on the existing literature in two directions: (i) this project constitutes a first attempt at a contract-based analysis of real and financial markets under uncertainty aversion; and (ii) unlike essentially all existing models, it recognizes and studies the role of endogenously created ambiguity in contracts.
This project has been funded by Ministero dell'Istruzione, dell'Università e della Ricerca under the framework PRIN 2017 - Progetti di ricerca di Rilevante Interesse Nazionale.