题目：A General Equilibrium Model of a Multi-Firm Moral-Hazard Economy with Financial Markets

Abstract

We present a general equilibrium model of a moral-hazard economy with many firms and financial markets, where stocks and bonds are traded. Contrary to the principal-agent literature, we argue that optimal contracting in an infinite economy is not about a tradeo between risk sharing and incentives, but it is all about incentives.

Even when the economy is finite, optimal contracts do not depend on principals' risk aversion, but on market prices of risks. We also show that optimal contracting does not require relative performance evaluation, that the second-best real investment can be either lower or higher, that the second best risk-free interest rate is lower, and that the second-best equity premium can be either higher or lower, than those of the first best. Based on these results, we argue that given the volatility of the market portfolio, moral hazard can contribute to the resolution of the riskfree rate puzzle, but unlike the existing literature suggests, moral hazard can neither help explain nor deepen the equity premium puzzle.