| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w22012 |
| 来源ID | Working Paper 22012 |
| Recursive Contracts and Endogenously Incomplete Markets | |
| Mikhail Golosov; Aleh Tsyvinski; Nicolas Werquin | |
| 发表日期 | 2016-02-29 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | In this chapter we study dynamic incentive models in which risk sharing is endogenously limited by the presence of informational or enforcement frictions. We comprehensively overview one of the most important tools for the analysis such problems — the theory of recursive contracts. Recursive formulations allow to reduce often complex models to a sequence of essentially static problems that are easier to analyze both analytically and computationally. We first provide a self-contained treatment of the basic theory: the Revelation Principle, formulating and simplifying the incentive constraints, using promised utilities as state variables, and analyzing models with persistent shocks using the first-order approach. We then discuss more advanced topics: duality theory and Lagrange multiplier techniques, models with lack of commitment, and martingale methods in continuous time. Finally, we show how a variety of applications in public economics, corporate finance, development and international economics featuring incomplete risk-sharing can be analyzed using the tools of the theory of recursive contracts. |
| 主题 | Microeconomics ; Mathematical Tools ; Macroeconomics ; Consumption and Investment ; Fiscal Policy |
| URL | https://www.nber.org/papers/w22012 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/579686 |
| 推荐引用方式 GB/T 7714 | Mikhail Golosov,Aleh Tsyvinski,Nicolas Werquin. Recursive Contracts and Endogenously Incomplete Markets. 2016. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w22012.pdf（912KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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