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来源类型 | Working Paper |
规范类型 | 报告 |
DOI | 10.3386/w6476 |
来源ID | Working Paper 6476 |
Asset Pricing when Risk Sharing is Limited by Default | |
Fernando Alvarez; Urban J. Jermann | |
发表日期 | 1998-03-01 |
出版年 | 1998 |
语种 | 英语 |
摘要 | We study the asset pricing implications of a multi-agent endowment economy where agents can default on contracts that would leave them otherwise worse off. We specialize and extend the environment studied by Kocherlakota (1995) and Kehoe and Levine (1993) to make it comparable to standard studies of asset pricing. We make contributions along two fronts. First, we extend the characterization of efficient allocations. Second, we present an equilibrium concept with complete markets and with endogenous solvency constraints. These solvency constraints are such as to prevent default at the cost of reduced risk sharing. We show a version of the classical welfare theorems for this equilibrium definition. We characterize the pricing kernel, and compare it to the one for economies without participation constraints: interest rates are lower and risk premia can be bigger depending on the covariance of the idiosyncratic and aggregate shocks. We show that those agents whose endowment is very similar to the aggregate endowment are irrelevant for asset pricing. In a quantitative example, for reasonable parameter values, the relevant marginal rates of substitution fall within the Hansen-Jagannathan bounds. |
主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Microeconomics ; General Equilibrium |
URL | https://www.nber.org/papers/w6476 |
来源智库 | National Bureau of Economic Research (United States) |
引用统计 | |
资源类型 | 智库出版物 |
条目标识符 | http://119.78.100.153/handle/2XGU8XDN/563993 |
推荐引用方式 GB/T 7714 | Fernando Alvarez,Urban J. Jermann. Asset Pricing when Risk Sharing is Limited by Default. 1998. |
条目包含的文件 | ||||||
文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
w6476.pdf(2017KB) | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 |
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