Dynamic Directed Random Matching / Darrell Duffie, Lei Qiao, Yeneng Sun.

Format:

Book

Author/Creator:

Duffie, Darrell.

Contributor:

National Bureau of Economic Research.

Qiao, Lei.

Sun, Yeneng.

Series:

Working Paper Series (National Bureau of Economic Research) no. w21731.

NBER working paper series no. w21731

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2015.

Summary:

We develop a general and unified model in which a continuum of agents conduct directed random searches for counterparties. Our results provide the first probabilistic foundation for static and dynamic models of directed search (including the matching-function approach) that are common in search-based models of financial markets, monetary theory, and labor economics. The agents' types are shown to be independent discrete-time Markov processes that incorporate the effects of random mutation, random matching with match-induced type changes, and with the potential for enduring partnerships that may have randomly timed break-ups. The multi-period cross-sectional distribution of types is shown to be deterministic and is calculated using the exact law of large numbers.

Notes:

Print version record

November 2015.