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TUPD-2022-012

表 題 Revelation principle under strategic uncertainty: application to financial contracts with limited liability
著 者 図斎 大

東北大学経済学研究科 准教授

P D F
要 旨

We consider a principal-agent model in which the principal can terminate the agent’s project and an outsider can affect the project’s result. Only the agent can observe the out- sider’s action and sends a message to the principal. Under strategic uncertainty about the outsider’s action in complete information, sequential equilibrium is a suitable equilibrium concept to select the robust outcome and to completely identify the underlying posterior belief. We prove the revelation principle for sequential equilibrium in such a game. Based on this revelation principle, we present a legitimate and simple form of the limited liability constraint on a financial contract that is robust to strategic uncertainty.

キーワード 顕示原理 revelation principle, 逐次均衡 sequential equilibrium, 戦略的不確実性 strategic uncertainty, 有限責任 limited liability, 金融契約 financial contracts
発行年月 2022年 8月

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