G2TT
来源类型Working Paper
规范类型报告
DOI10.3386/w6476
来源IDWorking 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
URLhttps://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
个性服务
推荐该条目
保存到收藏夹
导出为Endnote文件
谷歌学术
谷歌学术中相似的文章
[Fernando Alvarez]的文章
[Urban J. Jermann]的文章
百度学术
百度学术中相似的文章
[Fernando Alvarez]的文章
[Urban J. Jermann]的文章
必应学术
必应学术中相似的文章
[Fernando Alvarez]的文章
[Urban J. Jermann]的文章
相关权益政策
暂无数据
收藏/分享
文件名: w6476.pdf
格式: Adobe PDF
此文件暂不支持浏览

除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。