Moral Hazard, Aggregate Risk and Nominal, Linear Financial Contracts - Archive ouverte HAL Access content directly
Reports Year :

Moral Hazard, Aggregate Risk and Nominal, Linear Financial Contracts

(1) , (2)
1
2

Abstract

We study competitive equilibria with moral hazard in economies with aggregate risk and where trading occurs with an incomplete set of financial assets. The main conclusion of the paper is that, contrary to the individual risk economies, moral hazard is compatible with trading in competitive linear financial contracts, and gives rise to no manipulation problem. We establish existence of nonmanipulable equilibria provided that there are no relative price effects (e.g. a one-commodity economy), and that ...nancial markets display nonlinearly homogeneous payoffs (e.g., nominal), and are sufficiently incomplete. Finally, we justify the linear contract as the optimal pricing schedule in a specific trading game with an auctioneer.
Not file

Dates and versions

hal-00599915 , version 1 (11-06-2011)

Identifiers

  • HAL Id : hal-00599915 , version 1

Cite

Alessandro Citanna, Archishman Chakraborty. Moral Hazard, Aggregate Risk and Nominal, Linear Financial Contracts. 1999. ⟨hal-00599915⟩

Collections

HEC CNRS LARA
64 View
0 Download

Share

Gmail Facebook Twitter LinkedIn More