Dynamic Common Agency Problems in Continuous Time, with Heterogeneous Beliefs
2015/10/06
研討會日期 : 2015-10-06
時間 : 14:30
主講人 : Professor Hsuan-Chih Lin
主持人 : Professor Cheng-Ying Yang
地點 : Conference Room B110
演講者簡介 : Professor Lin received his Ph.D. in Economics from University of Wisconsin-Madison at 2015. He is currently an Assistant Research Fellow at the Institute of Economics, Academia Sinica. His research fields are Macroeconomics, Dynamic Contracting, International Trade, Financial Economics.
演講摘要 : This paper studies the dynamic environment of common agency problems with moral hazard using the continuous-time method. In particular, I characterize the necessary conditions that must hold in equilibrium, which come in the form of a system of stochastic differential equations. I then study an example and show how the competitions could affect the optimal contracts. Specifically, I extend Holmstrom and Milgrom’s (1987) version of principal-agent problem to a case where there are multiple principals with heterogeneous beliefs. The interaction between incentive provision, learning, and competitions are demonstrated numerically.
