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dc.contributor.authorMARCET, Albert
dc.contributor.authorMARIMON, Ramon
dc.date.accessioned2020-02-10T16:08:38Z
dc.date.available2020-02-10T16:08:38Z
dc.date.issued2019
dc.identifier.citationEconometrica, 2019, Vol. 87, No. 5, pp. 1589-1631en
dc.identifier.issn0012-9682
dc.identifier.issn1468-0262
dc.identifier.urihttps://hdl.handle.net/1814/66074
dc.descriptionFirst published: 30 September 2019en
dc.description.abstractWe obtain a recursive formulation for a general class of optimization problems with forward-looking constraints which often arise in economic dynamic models, for example, in contracting problems with incentive constraints or in models of optimal policy. In this case, the solution does not satisfy the Bellman equation. Our approach consists of studying a recursive Lagrangian. Under standard general conditions, there is a recursive saddle-point functional equation (analogous to a Bellman equation) that characterizes a recursive solution to the planner's problem. The recursive formulation is obtained after adding a co-state variable mu(t) summarizing previous commitments reflected in past Lagrange multipliers. The continuation problem is obtained with mu(t) playing the role of weights in the objective function. Our approach is applicable to characterizing and computing solutions to a large class of dynamic contracting problems.en
dc.description.sponsorshipMCyT-MEyC of Spainen
dc.description.sponsorshipGeneralitat de CatalunyaGeneralitat de Catalunyaen
dc.description.sponsorshipAxa Research Funden
dc.description.sponsorshipEuropean Research Council under the EU 7th Framework Programme (FP/2007-2013) Grant [324048-APMPAL]en
dc.description.sponsorshipPrograma de Excelencia del Banco de Espanaen
dc.description.sponsorshipSevero Ochoa Programme for Centres of Excellence in RD [SEV-2015-0563]en
dc.description.sponsorshipCIRITen
dc.language.isoen
dc.publisherWileyen
dc.relation.ispartofEconometricaen
dc.subjectRecursive methodsen
dc.subjectdynamic optimizationen
dc.subjectRamsey equilibriumen
dc.subjecttime inconsistencyen
dc.subjectlimited commitmenten
dc.subjectlimited enforcementen
dc.subjectsaddle-pointsen
dc.subjectLagrangian multipliersen
dc.subjectBellman equationsen
dc.titleRecursive contractsen
dc.typeArticle
dc.identifier.doi10.3982/ECTA9902
dc.identifier.volume87
dc.identifier.startpage1589
dc.identifier.endpage1631
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dc.identifier.issue5


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