Dynamic moral hazard without commitment

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• 作者：Johannes Hörner ; Larry Samuelson
• 关键词：Dynamic moral hazard ; Commitment ; Asymmetric information ; Principal ; agent ; Cash flow diversion
• 刊名：International Journal of Game Theory
• 出版年：2016
• 出版时间：March 2016
• 年：2016
• 卷：45
• 期：1-2
• 页码：89-136
• 全文大小：809 KB
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• 作者单位：Johannes Hörner (1)
  Larry Samuelson (1)
  
  1. Department of Economics, Yale University, New Haven, CT, 06520, USA
  
• 刊物主题：Economic Theory; Game Theory, Economics, Social and Behav. Sciences; Operations Research/Decision Theory; Game Theory/Mathematical Methods;
• 出版者：Springer Berlin Heidelberg
• ISSN：1432-1270

文摘

We study a discrete-time model of repeated moral hazard without commitment. In every period, a principal finances a project, choosing the scale of the project and a contingent payment plan for an agent, who has the opportunity to appropriate the returns of a successful project unbeknownst the principal. The absence of commitment is reflected both in the solution concept (perfect Bayesian equilibrium) and in the ability of the principal to freely revise the project’s scale from one period to the next. We show that removing commitment from the equilibrium concept is relatively innocuous—if the players are sufficiently patient, there are equilibria with payoffs low enough to effectively endow the players with the requisite commitment, within the confines of perfect Bayesian equilibrium. In contrast, the frictionless choice of scale has a significant effect on the project’s dynamics. Starting from the principal’s favorite equilibrium, the optimal contract eventually converges to the repetition of the stage-game Nash equilibrium, operating the project at maximum scale and compensating the agent (only) via immediate payments.