Dynamic Contracting with Moral Hazard Under Incomplete Information

Teddy Mekonnen
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Abstract

I study a continuous time principal-agent model in which an unknown parameter and the agent's hidden effort affect the distribution of observable outcomes. The principal and the agent learn about the parameter by observing past outcomes. The agent's current effort has an implicit long-term effect through the belief dynamics and a deviation in effort creates a persistent disparity between the principal's and the agent's beliefs. This disparity affects the rate of learning as well as how the two evaluate the expected distribution of future outcomes which in turn affects their evaluation of future payoffs. Placing minimal restrictions on how effort and the parameter interact, I derive necessary and sufficient conditions for incentive compatible contracts. In addition to the agent's promised utility, the covariance between the on-path posterior beliefs and the agent's total payoff serves as a second state variable capturing the marginal long-run effects of effort.
不完全信息下具有道德风险的动态契约
研究了一个连续时间的委托-代理模型,其中未知参数和代理的隐藏努力影响可观察结果的分布。委托人和代理人通过观察过去的结果来了解参数。通过信念动力,代理人当前的努力具有隐性的长期影响,而努力的偏差会在委托人和代理人的信念之间产生持续的差异。这种差异影响了学习的速度,也影响了双方如何评估未来结果的预期分布,进而影响了他们对未来收益的评估。通过对努力和参数相互作用的最小限制,我得出了激励相容契约的充分必要条件。除了代理人的承诺效用之外,在路径上的后验信念与代理人的总收益之间的协方差作为第二个状态变量,捕获了努力的边际长期效应。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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