AGENCY MODELS WITH FREQUENT ACTIONS

• 成果类型: Article
• 署名作者: Sadzik, Tomasz; Stacchetti, Ennio
• 署名单位: University of California System; University of California Los Angeles; New York University
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA10656
• 发表日期: 2015
• 页码: 193-237
• 关键词: Repeated games; continuous-time; moral hazard; security design; INFORMATION; incentives; EFFICIENCY; provision

摘要

The paper analyzes dynamic principal-agent models with short period lengths. The two main contributions are: (i) an analytic characterization of the values of optimal contracts in the limit as the period length goes to 0, and (ii) the construction of relatively simple (almost) optimal contracts for fixed period lengths. Our setting is flexible and includes the pure hidden action or pure hidden information models as special cases. We show how such details of the underlying information structure affect the optimal provision of incentives and the value of the contracts. The dependence is very tractable and we obtain sharp comparative statics results. The results are derived with a novel method that uses a quadratic approximation of the Pareto boundary of the equilibrium value set.