Full text
| |
| Author(s): |
Maurício Massao Soares Matsumoto
Total Authors: 1
|
| Document type: | Master's Dissertation |
| Press: | São Paulo. |
| Institution: | Universidade de São Paulo (USP). Faculdade de Economia, Administração e Contabilidade (FEA/SBD) |
| Defense date: | 2014-07-31 |
| Examining board members: |
Gabriel de Abreu Madeira;
Klenio de Souza Barbosa;
Rafael Coutinho Costa Lima
|
| Advisor: | Gabriel de Abreu Madeira |
| Abstract | |
In this work we propose a flexible numerical approach to deal with models of dynamic moral hazard with simultaneous learning about the production function. Because of the complexity of the problem, analytical solutions have so far been limited in scope. The contribution is methodological: through computation, the problem can be studied under few assumptions about functional forms. We depart from a general mechanism, reformulate it as an incentive compatible mechanism, and show how it can be solved by backward induction through a sequence of linear programs. We apply our method to a few cases of interest, and confirm that uncertainty about the production function increases the volatility of the agent\'s utility in order to prevent belief manipulation, as found in the literature. (AU) | |
| FAPESP's process: | 12/18496-0 - Dynamic contracts with uncertainty about the production function |
| Grantee: | Maurício Massao Soares Matsumoto |
| Support Opportunities: | Scholarships in Brazil - Master |