| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w6953 |
| 来源ID | Working Paper 6953 |
| Quantitative Asset Pricing Implications of Endogenous Solvency Constraints | |
| Fernando Alvarez; Urban J. Jermann | |
| 发表日期 | 1999-02-01 |
| 出版年 | 1999 |
| 语种 | 英语 |
| 摘要 | We study the asset pricing implications of an economy where solvency constraints are determined to efficiently deter agents from defaulting. We present a simple example for which efficient allocations and all equilibrium elements are characterized analytically. The main model produces large equity premia and risk premia for long term bonds with low risk aversion and a plausibly calibrated income process. We characterize the deviations from independence of aggregate and individual income uncertainty that produce equity and term premia. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Microeconomics ; General Equilibrium |
| URL | https://www.nber.org/papers/w6953 |
| 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/564468 |
| 推荐引用方式 GB/T 7714 | Fernando Alvarez,Urban J. Jermann. Quantitative Asset Pricing Implications of Endogenous Solvency Constraints. 1999. |
| 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 | ||
| w6953.pdf（1443KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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