| 来源类型 | Working Paper
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| 规范类型 | 报告
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| DOI | 10.3386/w13894
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| 来源ID | Working Paper 13894
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| Persistent Private Information |
| Noah Williams
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| 发表日期 | 2008-03-20
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| 出版年 | 2008
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| 语种 | 英语
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| 摘要 | This paper studies the design of optimal contracts in dynamic environments where agents have private information that is persistent. In particular, I focus on a continuous time version of a benchmark insurance problem where a risk averse agent would like to borrow from a risk neutral lender to stabilize his income stream. The income stream is private information to the borrower and is persistent. I find that the optimal contract conditions on the agent's reported endowment as well as two additional state variables: the agent's utility and marginal utility under the contract. I show how persistence alters the nature of the contract, and consider an exponential utility example which can be solved in closed form. Unlike the previous discrete time models with i.i.d. private information, the agent's consumption under the contract may grow over time. Furthermore, in my setting the efficiency losses due to private information increase with the persistence of the endowment, and the distortions vanish as I approximate an i.i.d. endowment. |
| 主题 | Microeconomics
; Economics of Information
; Macroeconomics
; Consumption and Investment
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| URL | https://www.nber.org/papers/w13894
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| 来源智库 | National Bureau of Economic Research (United States)
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| 引用统计 |
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/571568
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推荐引用方式
GB/T 7714 |
Noah Williams. Persistent Private Information. 2008.
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文件名：
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w13894.pdf
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格式：
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Adobe PDF
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