Dynamics consistency under asymmetric information

摘要

The time consistency problem is recast in an imperfect information framework. A two-period, two-agent dynamic game is examined. The loop model of dynamic games is used. Agents are assumed to possess imperfect information about the value of the state variable in each period. It is shown that a consistency in the outcomes of the Nash game and the associated Stackelberg game exists. Under dynamic information patterns, both players prefer to play the Stackelberg game than the Nash game.