This paper presents a new approach for modeling an optimal debt contract in continuous time. It examines a competing contract design in a continuous-time environment with Markov income shocks and costly veriable information. It shows that an optimal contract has the form of a debt contract that permits a debtor's strategic default and reorganization. The default is formulated as an optimal impulse control. This paper provides a useful framework to investigate the debtor's default incentives in relationships to a monitoring technology. Numerical examples show that the equilibrium probability of the default is decreasing in a level of the monitoring technology.
内容記述
Revised in February 2008
本文フィルはリンク先を参照のこと
雑誌名
Discussion paper series. CIRJE-F
巻
CIRJE-F-532
発行年
2007-12
書誌レコードID
AA11450569
フォーマット
application/pdf
日本十進分類法
335
出版者
日本経済国際共同センター
出版者別名
Center for International Research on the Japanese Economy
Strategic Default Jump as Impulse Control in Continuous Time
