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1.
Summary. We study the implications of optimal dynamic contracts in private information environments for fluctuations in effort and
employment across time and productivity states. To this end, we incorporate temporary layoffs and permanent separations as
well as on-the-job effort variations into a dynamic model of moral hazard. We consider two different “commitment” environments.
In a “full commitment” environment, although the firm can temporarily lay a worker off, neither party can dissolve the contractual
relationship once it has been initiated. On the other hand, in a “limited commitment” environment, both parties can dissolve
the relationship at the beginning of any period in order to pursue an outside option.
We use our model to study the implications of optimal contracts for incentives, employment histories, layoffs and separations
across full information, full commitment and limited commitment settings. We compute solutions to the relevant principal-agent
problems, endogenously determining the set of states in which separations occur and the domain of the firm's value function,
as well as the value function itself.
Received: February 28, 2000; revised version: January 21, 2001 相似文献
2.
Summary. We consider the problem of efficient insurance contracts when the cost structure includes a fixed cost per claim. We prove
existence of efficient insurance contracts and that the indemnity function in such contracts is non-decreasing in the damage.
We further show that either there is no insurance, or the indemnity is positive for all losses, or efficient insurance contracts
have a unique jump. We study variants of the model and provide a generalization to the case of non expected utilities. Our
results are then applied to Townsend's model of deterministic auditing.
Received: November 8, 2000; revised version: March 12, 2002
RID="*"
ID="*" We are grateful to F. Salanié for pointing out an error in the previous version of the paper and for suggesting Proposition
6 to us.
Correspondence to: R.-A. Dana 相似文献
3.
Summary. A model that includes the cost of producing money is presented and the nature of the inefficient equilibria in the model
are examined. It is suggested that if one acknowledges that transactions are a form of production, which requires the consumption
of resources, then the concept of Pareto optimality is inappropriate for assessing efficiency. Instead it becomes necessary
to provide an appropriate comparative analysis of alternative transactions mechanisms in the appropriate context.
Received: September 5, 2000; revised version: May 3, 2001 相似文献
4.
Sonia Weyers 《Economic Theory》1999,14(1):181-201
Summary. For perfectly competitive economies under uncertainty, there is a well-known equivalence between a formulation with contingent
goods and one with state-specific securities followed by spot markets for goods. In this paper, I examine whether this equivalence
carries over to a particular form of imperfect competition. Specifically, I look at three Shapley-Shubik strategic market
games: one with contingent commodities, one with Arrow securities traded under imperfect competition and one with Arrow securities
traded under perfect competition. First I compare the feasibility constraints of these three games. Then I compare their equilibrium
sets. As in Peck and Shell (1989), the only common equilibria between the first and the second game are those which involve
no transfer of income across states. However, if the securities markets are competitive, then the set of equilibria of the
contingent commodities game and the securities game coincide.
Received: June 16, 1997; revised version: April 30, 1998 相似文献
5.
Federico Echenique 《Economic Theory》2003,22(1):33-44
Summary. The literature on games of strategic complementarities (GSC) has focused on pure strategies. I introduce mixed strategies
and show that, when strategy spaces are one-dimensional, the complementarities framework extends to mixed strategies ordered
by first-order stochastic dominance. In particular, the mixed extension of a GSC is a GSC, the full set of equilibria is a
complete lattice and the extremal equilibria (smallest and largest) are in pure strategies. The framework does not extend
when strategy spaces are multi-dimensional. I also update learning results for GSC using stochastic fictitious play.
Received: October 16, 2000; revised version: March 7, 2002
RID="*"
ID="*" I am very grateful to Robert Anderson, David Blackwell, Aaron Edlin, Peter De Marzo, Ted O'Donoghue, Matthew Rabin,
Ilya Segal, Chris Shannon, Clara Wang and Federico Weinschelbaum for comments and advise. 相似文献
6.
Summary. We analyze an infinite horizon model where a seller who owns an indivisible unit of a good for sale has incomplete information
about the state of the world that determines not only the demand she faces but also her own valuation for the good. Over time,
she randomly meets potential buyers who may have incentives to manipulate her learning process strategically. We show that
i) the seller's incentives to post a high price and to experiment are not necessarily monotonic in the information conveyed
by a buyer's rejection; and ii) as the discount factors tend to one, there are equilibria where the seller always ends up
selling the good at an ex-post individually rational price.
Received: January 6, 1999; revised version: July 15, 2000 相似文献
7.
Patrick Bajari 《Economic Theory》2001,18(1):187-205
Summary. Collusion is a serious problem in many procurement auctions. In this research, I study a model of first price sealed bid
procurement auctions with asymmetric bidders. I demonstrate that the equilibrium to the model is unique and describe three
algorithms that can be used to compute the inverse equilibrium bid functions. I then use the computational algorithms to compare
competitive and collusive bidding. The algorithms are useful for structural estimation of auction models and for assessing
the damages from bid-rigging.
Received: January 14, 2000; revised version: February 28, 2001 相似文献
8.
Summary. We prove that locally, Walras' law and homogeneity characterize the structure of market excess demand functions when financial
markets are incomplete and assets' returns are nominal. The method of proof is substantially different from all existing arguments
as the properties of individual demand are also different. We show that this result has important implications and is part
of a more general result that excess demand is an essentially arbitrary function not just of prices, but also of the exogenous
parameters of the economy as asset returns, preferences, and endowments. Thus locally the equilibrium manifold, relating equilibrium
prices to these parameters has also no structure.
Received: September 17, 1996; revised version: November 7, 1997 相似文献
9.
Jean-Marc Bottazzi 《Economic Theory》2002,20(1):67-82
Summary. In a multiperiod economy with incomplete markets and assets with payoff depending on the price history (e.g., asset and derivatives),
we show that in order to get endowment generic existence of an equilibrium it is not needed to alter settlement features such
as when payments are made and when the asset is traded. This is non-trivial as each such characteristic introduces a non-generic
subclass of financial instruments. We show essentially that expiry date payments are the only payments that one needs perturbing
(if at all). For previous periods - the P&L discovery map - is the one relevant for wealth transfers. This map transfers wealth
between one period and the next by associating to each portfolio next period potential profit and losses as a function of
the revealed information at the node. All present values involved can in general - because of backward induction pricing structure
- be appropriately controlled via expiry payoffs only. This enables us to extend two-period work and introduce Transverse
Financial Structures for multiperiod economies, where one cannot identify the payoffs of financial instruments to the P&L
discovery map (in other words we introduce some financial ingeneering for Transverse Financial Structures). We capitalize
on that difference using unexploited “maturity payout degrees of freedom” and rolling back the uncertainty tree. As an application
of this approach we prove a conjecture by Magill and Quinzii that commodity forward contracts lead to endowment generic existence
of an equilibrium in a multiperiod set-up.
Received: June 25, 1999; revised version: April 4, 2001 相似文献
10.
Summary. We provide a condition for ranking of information systems in agency problems. The condition has a straightforward economic
interpretation in terms of the sensitivity of a cumulative distribution with respect to the agent's effort. The criterion
is shown to be equivalent to the mean preserving spread condition on the likelihood ratio distributions.
Received: November 10, 1999; revised version: February 17, 2000 相似文献
11.
Summary. In this paper, we establish the most possilbe general formulation of the technology governing carbon-gas emission, giving
rise to global external diseconomies, and ty to explore into the strategic interactions,both domestic and international, when
an individual country decides on the environmental policies. Through the comparison among emission taxes, quotas, and standard
in the perfectly competitive private economies, we find that the first two policies are equivalent but they are different
in effects by virtue of what we may call the tax-exemption effect of emission standards. Such a difference in the policy effect
further affects the other country's welfare through the global externalities, amplified through whether the government can
precommit to either the emission tax or the emission standard.
Received: January 16, 2001; revised version: April 16, 2002
RID="*"
ID="*" The authors thank the valuable comments by an anonymous referee. Ministry of Education and Science for its financial
support is also greatly acknowledged.
Correspondence to:K. Kiyono 相似文献
12.
Summary. We analyze an oligopoly model of homogeneous product price competition that allows for discontinuities in demand and/or costs.
Conditions under which only zero profit equilibrium outcomes obtain in such settings are provided. We then illustrate through
a series of examples that the conditions provided are “tight” in the sense that their relaxation leads to positive profit
outcomes.
Received: April 7, 2000; revised version: September 14, 2000 相似文献
13.
Summary. We consider a model of political competition among two ideological parties who are uncertain about the distribution of voters.
The distinguishing feature of the model is that parties can delegate electoral decisions to candidates by nomination. It is
shown that if the credible platform commitments of the candidates is feasible, then at least one of the parties nominates
in equilibrium to a candidate who has an ideology that is more radical than the delegating party's ideology. In a variety
of circumstances, this, in turn, yields a polarization of equilibrium policy choices of the candidates. It is thus argued
formally here that strategic nomination of the candidates may well be one of the major reasons behind the well documented
observation that the platforms associated with the political parties in two-party democracies are often surprisingly polarized.
Received: January 10, 2002; revised version: May 8, 2002
RID="*"
ID="*" We thank Alberto Alesina, Levent Ko?kesen, Antonio Merlo, Ronny Razin, Vijay Krishna, Alessandro Lizzeri, and seminar
participants at Alicante, Columbia, Copenhagen, and NYU for helpful comments. We also thank an anonymous referee for its useful
suggestions. A good fraction of this research was conducted while Ok was a visitor in the Department of Economics at University
of Alicante; he thanks for the kind hospitality of this institution. We gratefully acknowledge the financial support from
the Spanish Ministry of Education through grant CICYT BEC2001-0535 (Faulí-Oller) and BEC2001-0980 (Ortu?o-Ortín).
Correspondence to:I. Ortu?o-Ortin 相似文献
14.
Summary. We model credit contracting and bidding in a first-price sealed-bid auction when bidder valuation and wealth are private
information. An efficient separating equilibrium exists only if the wealth levels of both bidder types are sufficiently different.
If not, high-valuation bidders signal by borrowing more and using less of their wealth – this is inefficient as wealth is
a cheaper source of funds. An increase in the amount of borrowing required to signal does not necessarily decrease seller
expected revenue. In contrast to separating equilibria, high-valuation bidders adopt pure strategy bids in pooling equilibria.
Conditions are identified under which the lower bound on winning bids is higher in pooling than separating equilibria.
Received: January 22, 2001; revised version: August 28, 2001 相似文献
15.
Summary. A speculative security is an asset whose payoff depends in part on a random shock uncorrelated with economic fundamentals
(a sunspot) about which some traders have superior information. In this paper we show that agents may find it desirable to
trade such a security in spite of the fact that it is a poorer hedge against their endowment risks at the time of trade, and
has an associated adverse selection cost. In the specific institutional setting of innovation of futures contracts, we show
that a futures exchange may not have an incentive to introduce a speculative security even when all traders favor it.
Received: July 19, 1998; revised version: August 31, 1998 相似文献
16.
Gabrielle Demange 《Economic Theory》2002,20(1):1-27
Summary. This paper defines and studies optimality in a dynamic stochastic economy with finitely lived agents, and investigates the
optimality properties of an equilibrium with or without sequentially complete markets. Various Pareto optimality concepts
are considered, including interim and ex ante optimality. We show that, at an equilibrium with a productive asset (land) and sequentially complete markets, the intervention
of a government may be justified, but only to improve risk sharing between generations. If markets are incomplete, constrained
interim optimality is investigated in two-period lived OLG economies. We extend the optimality properties of an equilibrium with
land and give conditions under which introducing a pay-as-you-go system at an equilibrium would not lead to any Pareto improvement.
Received: October 5, 1998; revised version: April 3, 2001 相似文献
17.
Summary. We consider a Lucas asset-pricing model with heterogeneous agents, exogenous labor income, and a finite number of exogenous
shocks. Although agents are infinitely lived, endowments and dividends are time-invariant functions of the exogenous shock
alone and are thus restricted to lie in a finite-dimensional space; genericity analysis can be conducted on sets of zero Lebesgue
measure. When financial markets are incomplete, that is, there are fewer financial securities than shocks, we show that generically
in individual endowments all competitive equilibria are Pareto inefficient.
Received: November 22, 1999; revised version: March 4, 2002
RID="*"
ID="*" We are grateful to an anonymous referee for very insightful comments on earlier drafts. 相似文献
18.
Frederic Palomino 《Economic Theory》2001,18(3):683-700
Summary. The paper studies informational properties of three types of imperfectly competitive markets: a one-signal speculative market
(OSS market) in which agents have only private information about the fundamental value (v) of the risky asset traded, a two-signal speculative market (TSS market) in which agents have private information about both
v and the asset supply, and a market in which agents are endowed with both information about v and shares of the risky asset traded. In this last market (JA market), agents have joint activities: they trade for both
speculative and hedging purposes. It is shown that (i) the JA market and the OSS market are the most and the least efficient, respectively, and (ii) the levels of informational efficiency in the three markets are inversely correlated with the intensities with which traders
use their private information about the fundamental value of the asset.
Received May 28, 1999; revised version: May 28, 1999 相似文献
19.
Felix Kubler 《Economic Theory》2001,18(1):73-96
Summary. There are a wide variety of theoretical general equilibrium models with incomplete security markets. In this paper we give
a general recipe for using homotopy algorithm to compute equilibria in these models. In many models, taxes, transaction-costs
or other market frictions introduce the additional difficulty that equilibrium prices or choices (but not equilibrium allocations)
may be undetermined. In order to demonstrate how these difficulties can be dealt with, we develop a globally convergent algorithm
to compute equilibria in a model with cash-in-advance constraints, several goods and incomplete financial markets. Furthermore
we describe how to implement the algorithm using a publicly available suite of subroutines for homotopy-pathfollowing.
Received: October 1, 1999; revised version: December 16, 2000 相似文献
20.
Martin F. Hellwig 《Economic Theory》2001,18(2):415-438
Summary. The paper extends Diamond's (1984) analysis of financial contracting with information asymmetry ex post and endogenous “bankruptcy penalties” to allow for risk aversion of the borrower. The optimality of debt contracts, which Diamond obtained for the case of risk neutrality, is shown to be nonrobust to the introduction of risk aversion. This
contrasts with the costly state verification literature, in which debt contracts are optimal for risk averse as well as risk
neutral borrowers.
Received: December 7, 1998; revised version: June 9, 1999 相似文献