کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
985667 1480834 2008 23 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Efficient allocations with moral hazard and hidden borrowing and lending: A recursive formulation
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Efficient allocations with moral hazard and hidden borrowing and lending: A recursive formulation
چکیده انگلیسی

We propose a tractable recursive framework to study the optimal allocation of consumption and effort in a dynamic setting with moral hazard where agents have secret access to the credit market or to storage. The recursive structure is based on a generalized first-order approach, whose validity must be verified ex post. Thanks to the recursive formulation of the optimal contract, the verification procedure turns out to be numerically parsimonious as it can be performed using standard dynamic programming techniques with only one endogenous state variable: The agent's level of assets. We study the performance of our ex post verification test in practice by solving numerically three representative infinite horizon examples.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Review of Economic Dynamics - Volume 11, Issue 4, October 2008, Pages 781–803
نویسندگان
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