| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP4740 |
| DP4740 Optimal Stabilization Policy When Wages and Prices are Sticky: The Case of a Distorted Steady State | |
| Michael Woodford; PIerpaolo Benigno | |
| 发表日期 | 2004-11-23 |
| 出版年 | 2004 |
| 语种 | 英语 |
| 摘要 | We analyse dynamic financial contracting under moral hazard. The ability to rely on future rewards relaxes the tension between incentive and participation constraints, relative to the static case. Managers are incited by the promise of future payments after several successes and the threat of liquidation after several failures. The more severe the moral hazard problem, the greater the liquidation risk. The optimal contract can be implemented by holding cash reserves and by issuing debt and equity. The firm is liquidated when it runs out of cash. Dividends are paid only when accumulated earnings reach a certain threshold. In the continuous time limit of the model, stocks follow a diffusion process, with a stochastic volatility that increases after price drops. In line with empirical findings, performance shocks induce long lasting changes in leverage. |
| 主题 | Financial Economics |
| 关键词 | Security design Moral hazard Asset pricing Dynamic financial contracting |
| URL | https://cepr.org/publications/dp4740 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/533657 |
| 推荐引用方式 GB/T 7714 | Michael Woodford,PIerpaolo Benigno. DP4740 Optimal Stabilization Policy When Wages and Prices are Sticky: The Case of a Distorted Steady State. 2004. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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