Recursive contracts
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- dc.contributor.author Marcet, Albertca
- dc.contributor.author Marimon, Ramonca
- dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa
- dc.date.accessioned 2017-07-26T10:50:02Z
- dc.date.available 2017-07-26T10:50:02Z
- dc.date.issued 1994-09-01
- dc.date.modified 2017-07-23T02:04:08Z
- dc.description.abstract We obtain a recursive formulation for a general class of contracting problems involving incentive constraints. Under these constraints, the corresponding maximization (sup) problems fails to have a recursive solution. Our approach consists of studying the Lagrangian. We show that, under standard assumptions, the solution to the Lagrangian is characterized by a recursive saddle point (infsup) functional equation, analogous to Bellman's equation. Our approach applies to a large class of contractual problems. As examples, we study the optimal policy in a model with intertemporal participation constraints (which arise in models of default) and intertemporal competitive constraints (which arise in Ramsey equilibria).
- dc.format.mimetype application/pdfca
- dc.identifier https://econ-papers.upf.edu/ca/paper.php?id=337
- dc.identifier.uri http://hdl.handle.net/10230/453
- dc.language.iso eng
- dc.relation.ispartofseries Economics and Business Working Papers Series; 337
- dc.rights L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
- dc.rights.accessRights info:eu-repo/semantics/openAccess
- dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
- dc.subject.keyword time inconsistency
- dc.subject.keyword recursive formulation
- dc.subject.keyword dynamic programming
- dc.subject.keyword ramsey equilibrium
- dc.subject.keyword participation constraint
- dc.subject.keyword recursive saddle points
- dc.subject.keyword Macroeconomics and International Economics
- dc.title Recursive contractsca
- dc.type info:eu-repo/semantics/workingPaper