| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP7125 |
| DP7125 Cash Holdings and Credit Risk | |
| Viral Acharya; Ilya Strebulaev; Sergei A. Davydenko | |
| 发表日期 | 2009-01-23 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | We develop a method that allows one to compute incomplete-market equilibria routinely for Markovian equilibria (when they exist). The main difficulty to be overcome arises from the set of state variables. There are, of course, exogenous state variables driving the economy but, in an incomplete market, there are also endogenous state variables, which introduce path dependence. We write on an event tree the system of all first-order conditions of all times and states and solve recursively for state prices, which are dual variables. We illustrate this ?dual? method and show its many practical advantages by means of several examples. |
| 主题 | Financial Economics |
| 关键词 | Incomplete market Financial-market equilibrium Computation Recursive methods |
| URL | https://cepr.org/publications/dp7125 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/535962 |
| 推荐引用方式 GB/T 7714 | Viral Acharya,Ilya Strebulaev,Sergei A. Davydenko. DP7125 Cash Holdings and Credit Risk. 2009. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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