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

摘要建议编号：SE-1326951主要研究人员：威廉姆斯，诺阿标题：信息、风险和经济政策：动态契约方法本项目研究动态关系中信息不对称的含义。特别是，研究人员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、公司和金融中介动态等问题。第一个研究领域是商业周期内的最优失业保险。该项目遵循以前的文献，分析由于不可观察的求职努力而导致的道德风险问题。尽管这些文献大多关注的是恒定的就业率，但在整个商业周期中，这些因素都有很大的不同。此外，失业保险制度通常包括经济衰退期间的延长救济金。这个项目分析了当工人做出不可观察到的寻找努力，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到的冒险行为的影响。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，一旦实际负债程度被发现，监管机构和股东都感到惊讶。研究人员建立了一个模型，在这个模型中，经理面临着一个典型的道德风险问题，在这个问题上，工作中的努力与随机冲击没有什么区别。此外，经理可以采取不可察觉的行动，产生当前的某些回报，但使公司面临更大的风险。例如，管理人可以销售针对不太可能发生的事件的保险，将保险费收入囊中，但如果事件发生，公司将承担巨额债务。该项目展示了标准的绩效工资合同--在道德风险的情况下通常是有益的--可能会导致经理承担额外的风险。然后，研究人员开发出最优合同，这些合同既能激励人们做出努力，又能管理风险。最后的研究领域集中在长期融资合同上。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，现有的大多数模型都使用短期合约，在产生显著的冲击放大和传播方面存在困难。然而，对于长期合同，借款人、贷款人和中间人之间的关系的价值会随着时间的推移而变化，这些价值的变化可能会导致冲击的传播更加持久。该项目展示了契约如何在家庭、企业和金融中介之间传播冲击，并产生有趣的企业和中介动态。该项目在政策讨论中具有直接重要的影响。例如，关于失业保险的申请直接针对一个与当前相关的政策问题。在最近一次经济衰退期间，随着劳动力市场状况的恶化，美国的失业保险福利已经延长了几次。本研究确定了经济周期内失业保险待遇的最优结构，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。关于融资合同的项目直接分析了金融摩擦和中介机构的作用，这在金融危机中至关重要。隐藏风险申请侧重于一个可能导致金融危机严重的渠道，因为许多银行因过度暴露风险而蒙受巨大损失。除了目前分析风险管理激励措施的工作外，该项目未来的工作将更密切地关注监管和政策回应，以鼓励风险管理。

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.