Signalling with Private Monitoring
研究了发送者看不到自己行动产生的信号时的动态信号传递，发现二阶信念成为新的私人状态并创造信息传递渠道，在宏观经济学、声誉和交易中有应用。
Abstract We study dynamic signalling when the sender does not see the signals that her actions generate. The sender then uses her past play to forecast what a receiver believes, in turn forcing the receiver to forecast the previous forecast, and so forth. We identify a class of linear-quadratic-Gaussian games where this endogenous higher-order uncertainty can be handled. The sender’s second-order belief is key: it is a private state that she controls, and it creates a new channel for information transmission. We examine the role of higher-order uncertainty and this new signalling channel in applications to macroeconomics, reputation, and trading: inflationary biases under discretion can be larger; career-concerned agents may benefit from not knowing their reputations; and informed trades can carry more price impact. We also introduce an existence method for boundary value problems that can be used in other dynamic games.