Dynamic contracting with persistent shocks

Journal of Economic Theory

Volumn 144, Issue 2, 2009, Pages 635-675

  Zhang, Yuzhe ^a  

^a UNIVERSITY OF IOWA   (United States)

Author keywords

Efficiency lines; Persistence; Principal agent problem; Stochastic control problem

Indexed keywords

EID: 59749092345     PISSN: 00220531     EISSN: 10957235     Source Type: Journal    
DOI: 10.1016/j.jet.2008.08.004     Document Type: Article

References (28)

1. Abreu D., Pearce D., and Staccheti E. Toward a theory of discounted repeated games with imperfect monitoring. Econometrica 58 5 (1990) 1041-1063
2. S. Albanesi, Optimal taxation of entrepreneurial capital with private information, Working paper, Columbia University, 2006
3. Albanesi S., and Sleet C. Dynamic optimal taxation with private information. Rev. Econ. Stud. 73 (2006) 1-30
4. Aliprantis C., and Burkinshaw O. Principles of Real Analysis. second ed. (1990), Academic Press, Inc., San Diego, CA, USA
5. Atkeson A., and Lucas R. On efficient distributions with private information. Rev. Econ. Stud. 59 3 (1992) 427-453
6. M. Battaglini, S. Coate, Pareto efficient income taxations with stochastic abilities, NBER Working paper 10119, 2003
7. V.V. Chari, P.J. Kehoe, E.R. McGrattan, Sticky price models of the business cycle: Can the contract multiplier solve the persistence problem? Staff Report 217, Federal Reserve Bank of Minneapolis, 1998
8. J. Cvitanic, X. Wan, J. Zhang, Continuous-time principal-agent problems with hidden action and lump-sum payment, Working paper, Caltech, 2007
9. Farhi E., and Werning I. Inequality and social discounting. J. Polit. Economy 115 3 (2007) 365-402
10. Fernandes A., and Phelan C. A recursive formulation for repeated agency with history dependence. J. Econ. Theory 91 (2000) 223-247
11. Fleming W., and Soner H. Controlled Markov Processes and Viscosity Solutions. second ed. (2006), Springer Science + Business Media, Inc., New York, NY, USA
12. Fudenberg D., Holmstrom B., and Milgrom P. Short-term contracts and long-term agency relationships. J. Econ. Theory 51 (1990) 1-31
13. Golosov M., Kocherlakota N., and Tsyvinski A. Optimal indirect and capital taxation. Rev. Econ. Stud. 70 (2003) 569-587
14. Golosov M., and Tsyvinski A. Designing optimal disability insurance: A case for asset testing. J. Polit. Economy 114 2 (2006) 257-279
15. Golosov M., and Tsyvinski A. Optimal taxation with endogenous insurance markets. Quart. J. Econ. 112 2 (2007) 487-534
16. Holmstrom B., and Milgrom P. Aggregation and linearity in the provision of intertemporal incentives. Econometrica 55 (1987) 303-328
17. Kapicka M. Optimal income taxation with human capital accumulation and limited recordkeeping. Rev. Econ. Dynam. 9 4 (2006) 612-639
18. M. Kapicka, Efficient allocations in dynamic private information economies with persistent shocks: A first order approach, Working paper, University of California, Santa Barbara, 2007
19. Kocherlakota N. Zero expected wealth taxes: A mirrlees approach to dynamic optimal taxation. Econometrica 73 (2005) 1587-1621
20. Norris J. Markov Chains (1997), Cambridge University Press, Cambridge
21. Sannikov Y. A continuous-time version of the principal-agent problem. Rev. Econ. Stud. 75 3 (2008) 957-984
22. Sannikov Y. Games with imperfectly observable actions in continuous time. Econometrica 75 5 (2007) 1285-1329
23. Schattler H., and Sung J. The first-order approach to continuous-time principal-agent problem with exponential utility. J. Econ. Theory 61 (1993) 331-371
24. K. Wälde, Applied intertemporal optimization, Lecture Notes, University of Würzburg, Germany, 2006
25. M. Westerfield, Optimal dynamic contracts with hidden actions in continuous time, Working paper, University of Southern California, 2006
26. N. Williams, On dynamic principal-agent problems in continuous time, Working paper, Princeton University, 2006
27. N. Williams, Persistent private information, Working Paper, Princeton University, 2008
28. Y. Zhang, Dynamic Contracting, persistent shocks and optimal taxation, Working paper, University of Minnesota, 2006