Information, Risk, and Economic Policy: A Dynamic Contracting Approach

信息、风险和经济政策：动态契约方法

• 批准号: 1326951
• 负责人: Noah Williams
• 金额: $ 26.89万
• 依托单位: University of Wisconsin-Madison
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 2013
• 资助国家: 美国
• 起止时间: 2013-08-15 至 2016-07-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=1326951&HistoricalAwards=false
• 关键词: Information; Risk; Economic; Policy; Dynamic

AbstractProposal No: SES - 1326951Principal Investigator: Williams, NoahTitle: Information, Risk, and Economic Policy: A Dynamic Contracting ApproachThis project studies the implications of asymmetries of information in dynamic relationships. In particular, the investigator applies relatively new continuous time contracting methods to study issues in economic policy, risk management, and firm and financial intermediary dynamics.The first area of study is optimal unemployment insurance over the business cycle. The project follows the previous literature in analyzing the moral hazard problem resulting from unobservable job search effort. While most of that literature has focused on constant job finding rates, these vary substantially over the business cycle. Further, unemployment insurance systems typically include extended benefits during recessions. This project analyzes optimal unemployment insurance when workers put forth unobservable search effort and the economy may alternate between expansions and recessions.The next area of research considers the implications of unobservable risk-taking behavior. One aspect of the recent financial crisis was that some firms seemed to take on excessive risk, surprising both regulators and shareholders once the actual extent of liabilities was uncovered. The investigator develops a model where a manager faces a classic moral hazard problem, where effort on the job is indistinguishable from random shocks. In addition, the manager can take unobservable actions which yield current certain payoffs, but expose the firm to larger risk. For example, the manager could sell insurance against unlikely events, pocketing the insurance premiums but exposing the firm to large liabilities if the event occurred. The project shows how standard pay-for-performance contracts, which are typically beneficial in the case of moral hazard, may lead the manager to take on excess risk. The investigator then develops optimal contracts which provide incentives to both put forth effort and to manage risk.The final area of research focuses on long-term financing contracts. Because of the recent economic experience, financial frictions are at the forefront of much current research. However most existing models use short-term contracts, and have had difficulty in generating significant amplification and propagation of shocks. However with long-term contracts, the value of the relationships among borrowers, lenders, and intermediaries changes over time, and changes in these values may lead to more persistence in the propagation of shocks. The project shows how contracts propagate shocks among households, firms, and financial intermediaries, and give rise to interesting firm and intermediary dynamics.This project has implications of direct importance in policy discussions. For example, the application on unemployment insurance is directly aimed at a policy question of current relevance. During the most recent recession, unemployment insurance benefits in the US have been extended several times as labor market conditions have deteriorated. This research determines the optimal structure of unemployment insurance benefits over the business cycle, and analyzes the potential gains from reforming the existing system. The other applications touch on policy questions as well, addressing issues at the heart of the recent financial and economic turmoil. The project on financing contracts directly analyzes financial frictions and the role of intermediaries, which were crucial in the financial crisis. The hidden risk application focuses on one channel which may have contributed to the severity of the financial crisis, as many banks incurred large losses due to excessive exposure to risk. In addition to the current work analyzing incentives to manage risk, future work in the project will look more closely at regulatory and policy responses to encourage risk management.

摘要项目编号：SES - 1326951首席研究员：Williams， noah题目：信息、风险和经济政策：一种动态契约方法。特别是，研究者应用相对较新的连续时间契约方法来研究经济政策、风险管理、企业和金融中介动态等问题。第一个研究领域是经济周期中的最优失业保险。本研究延续了前人的研究成果，分析了不可观察的求职努力所导致的道德风险问题。虽然大多数文献关注的是恒定的求职率，但这些在商业周期中变化很大。此外，在经济衰退期间，失业保险制度通常包括延长的福利。本项目分析了当工人投入不可观察的搜索努力，经济可能在扩张和衰退之间交替时的最优失业保险。下一个研究领域考虑了不可观察的冒险行为的含义。最近金融危机的一个方面是，一些公司似乎承担了过度的风险，一旦债务的实际程度被揭露，监管机构和股东都感到惊讶。研究者开发了一个模型，在这个模型中，管理者面临着一个经典的道德风险问题，在这个问题上，工作上的努力与随机的冲击是无法区分的。此外，管理者可以采取不可观察的行动，产生当前的某些回报，但使公司面临更大的风险。例如，经理可以出售针对不太可能发生的事件的保险，将保费收入囊中，但如果事件发生，公司将面临巨额负债。该项目表明，标准的按绩效支付合同（在道德风险的情况下通常是有益的）如何可能导致管理者承担超额风险。然后，研究者开发出最优契约，为付出努力和管理风险提供激励。最后一个研究领域是长期融资合同。由于最近的经济经验，金融摩擦是当前许多研究的前沿。然而，大多数现有模型使用短期合同，难以产生显著的放大和传播冲击。然而，对于长期合同，借款人、贷款人和中介机构之间关系的价值随着时间的推移而变化，这些价值的变化可能导致冲击传播的持久性更强。该项目展示了合约如何在家庭、企业和金融中介机构之间传播冲击，并产生了有趣的企业和中介机构动态。这个项目对政策讨论具有直接的重要意义。例如，失业保险的应用直接针对当前相关的政策问题。在最近一次经济衰退期间，由于劳动力市场状况恶化，美国的失业保险福利已多次延长。本研究确定了经济周期中失业保险福利的最优结构，并分析了改革现有制度的潜在收益。其他申请也涉及政策问题，解决了最近金融和经济动荡的核心问题。融资合同项目直接分析了在金融危机中至关重要的金融摩擦和中介机构的作用。隐藏风险的应用主要集中在一个可能导致金融危机严重程度的渠道，因为许多银行由于过度暴露于风险而造成了巨大的损失。除了当前分析风险管理激励措施的工作外，该项目的未来工作将更密切地关注鼓励风险管理的监管和政策反应。