Trading Information

We analyze a class of dynamic games of information exchange between two players. Each agent possesses information about a binary state that is of interest to the other player and cares about the other player's actions. Preferences are additively separable over own and the other player's actions. We fully characterize the set of equilibrium payoffs that can be sustained in such games and construct equilibria that achieve those payoffs. We show that gradual information exchange dominates static (one-shot) communication. Moreover, the whole set of outcomes that Pareto-dominate static communication can be supported in equilibrium.

Keywords: Bayesian persuasion, stochastic games, real options.

JEL Classification: C73, D83

Suggested Citation: Suggested Citation

Orlov, Dmitry and Skrzypacz, Andrzej and Zryumov, Pavel, Trading Information (August 31, 2022). Available at SSRN: https://ssrn.com/abstract=4206078 or http://dx.doi.org/10.2139/ssrn.4206078