Persistent Private Information

Noah Williams

No 158, 2007 Meeting Papers from Society for Economic Dynamics

Abstract: This paper studies the design of optimal contracts in dynamic environments where agents' private information is persistent. In particular, I focus on a continuous time version of an insurance problem similar to Green (1987) and Thomas and Worall (1990), 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 show that a first order approach to contracting applies, and this allows me to characterize the optimal contract.

Date: 2007
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Journal Article: Persistent Private Information (2011)
Working Paper: Persistent Private Information (2008)
Working Paper: Persistent Private Information (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:red:sed007:158

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