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Erscheinungsjahr: 
2020
Quellenangabe: 
[Journal:] Quantitative Economics [ISSN:] 1759-7331 [Volume:] 11 [Issue:] 4 [Publisher:] The Econometric Society [Place:] New Haven, CT [Year:] 2020 [Pages:] 1215-1251
Verlag: 
The Econometric Society, New Haven, CT
Zusammenfassung: 
We consider discrete-time dynamic principal-agent problems with continuous choice sets and potentially multiple agents. We prove the existence of a unique solution for the principal's value function only assuming continuity of the functions and compactness of the choice sets. We do this by a contraction mapping theorem and so also obtain a convergence result for the value function iteration. To numerically compute a solution for the problem, we have to solve a collection of static principal-agent problems at each iteration. As a result, in the discrete-time setting solving the static problem is the difficult step. If the agent's expected utility is a rational function of his action, then we can transform the bi-level optimization problem into a standard nonlinear program. The final results of our solution method are numerical approximations of the policy and value functions for the dynamic principal-agent model. We illustrate our solution method by solving variations of two prominent social planning models from the economics literature.
Schlagwörter: 
Optimal unemployment tax
principal-agent model
repeated moral hazard
JEL: 
C63
D80
D82
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