EconPapers    
Economics at your fingertips  
 

Repeated moral hazard and recursive Lagrangeans

Antonio Mele

MPRA Paper from University Library of Munich, Germany

Abstract: This paper shows how to solve dynamic agency models by extending recursive Lagrangean techniques à la Marcet and Marimon (2011) to problems with hidden actions. The method has many advantages with respect to promised utilities approach (Abreu, Pearce and Stacchetti (1990)): it is a significant improvement in terms of simplicity, tractability and computational speed. Solutions can be easily computed for hidden actions models with several endogenous state variables and several agents, while the promised utilities approach becomes extremely difficult and computationally intensive even with just one state variable or two agents. Several numerical examples illustrate how this methodology outperforms the standard approach.

Keywords: repeated moral hazard; collocation method; dynamic models with private information; recursive contracts (search for similar items in EconPapers)
JEL-codes: C61 C63 D86 (search for similar items in EconPapers)
Date: 2011-04-11
New Economics Papers: this item is included in nep-cmp, nep-cta and nep-dge
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/30310/1/MPRA_paper_30310.pdf original version (application/pdf)

Related works:
Journal Article: Repeated moral hazard and recursive Lagrangeans (2014) Downloads
Working Paper: Repeated moral hazard and recursive Lagrangeans (2010) Downloads
Working Paper: Repeated Moral Hazard and Recursive Lagrangeans (2008) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:30310

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().

 
Page updated 2023-11-11
Handle: RePEc:pra:mprapa:30310