Asset pricing when risk sharing is limited by default: a theoretical framework
Autor(a) principal: | |
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Data de Publicação: | 1997 |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | http://hdl.handle.net/10438/12100 |
Resumo: | We study the asset pricing implications of an endowment economy when 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 pricillg. We completely charactize efficient allocations for several special cases. We illtroduce a competitive equilibrium with complete markets alld with elldogellous solvency constraints. These solvellcy 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, alld compare it with 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. Quantitative examples show that for reasonable parameter values the relevant marginal rates of substitution fali within the Hansen-Jagannathan bounds. |
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Alvarez, FernandoEscolas::EPGEFGV2014-10-14T13:14:05Z2014-10-14T13:14:05Z1997-09-04http://hdl.handle.net/10438/12100We study the asset pricing implications of an endowment economy when 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 pricillg. We completely charactize efficient allocations for several special cases. We illtroduce a competitive equilibrium with complete markets alld with elldogellous solvency constraints. These solvellcy 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, alld compare it with 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. Quantitative examples show that for reasonable parameter values the relevant marginal rates of substitution fali within the Hansen-Jagannathan bounds.engEscola de Pós-Graduação em Economia da FGVSeminários de pesquisa econômica da EPGETodo cuidado foi dispensado para respeitar os direitos autorais deste trabalho. Entretanto, caso esta obra aqui depositada seja protegida por direitos autorais externos a esta instituição, contamos com a compreensão do autor e solicitamos que o mesmo faça contato através do Fale Conosco para que possamos tomar as providências cabíveisinfo:eu-repo/semantics/openAccessAvaliação de ativos - Modelo (CAPM)EconomiaModelo de precificação de ativosAsset pricing when risk sharing is limited by default: a theoretical frameworkinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlereponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVORIGINAL000088356.pdf000088356.pdfapplication/pdf1434268https://repositorio.fgv.br/bitstreams/68be6cb7-8eb4-4fd3-ae80-1550deb9ecad/download11b2d7314df42edca80cad9f4a1a94cdMD51LICENSElicense.txtlicense.txttext/plain; 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dc.title.eng.fl_str_mv |
Asset pricing when risk sharing is limited by default: a theoretical framework |
title |
Asset pricing when risk sharing is limited by default: a theoretical framework |
spellingShingle |
Asset pricing when risk sharing is limited by default: a theoretical framework Alvarez, Fernando Avaliação de ativos - Modelo (CAPM) Economia Modelo de precificação de ativos |
title_short |
Asset pricing when risk sharing is limited by default: a theoretical framework |
title_full |
Asset pricing when risk sharing is limited by default: a theoretical framework |
title_fullStr |
Asset pricing when risk sharing is limited by default: a theoretical framework |
title_full_unstemmed |
Asset pricing when risk sharing is limited by default: a theoretical framework |
title_sort |
Asset pricing when risk sharing is limited by default: a theoretical framework |
author |
Alvarez, Fernando |
author_facet |
Alvarez, Fernando |
author_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EPGE |
dc.contributor.affiliation.none.fl_str_mv |
FGV |
dc.contributor.author.fl_str_mv |
Alvarez, Fernando |
dc.subject.por.fl_str_mv |
Avaliação de ativos - Modelo (CAPM) |
topic |
Avaliação de ativos - Modelo (CAPM) Economia Modelo de precificação de ativos |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Modelo de precificação de ativos |
description |
We study the asset pricing implications of an endowment economy when 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 pricillg. We completely charactize efficient allocations for several special cases. We illtroduce a competitive equilibrium with complete markets alld with elldogellous solvency constraints. These solvellcy 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, alld compare it with 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. Quantitative examples show that for reasonable parameter values the relevant marginal rates of substitution fali within the Hansen-Jagannathan bounds. |
publishDate |
1997 |
dc.date.issued.fl_str_mv |
1997-09-04 |
dc.date.accessioned.fl_str_mv |
2014-10-14T13:14:05Z |
dc.date.available.fl_str_mv |
2014-10-14T13:14:05Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
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article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10438/12100 |
url |
http://hdl.handle.net/10438/12100 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.ispartofseries.por.fl_str_mv |
Seminários de pesquisa econômica da EPGE |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.publisher.none.fl_str_mv |
Escola de Pós-Graduação em Economia da FGV |
publisher.none.fl_str_mv |
Escola de Pós-Graduação em Economia da FGV |
dc.source.none.fl_str_mv |
reponame:Repositório Institucional do FGV (FGV Repositório Digital) instname:Fundação Getulio Vargas (FGV) instacron:FGV |
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Fundação Getulio Vargas (FGV) |
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FGV |
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FGV |
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collection |
Repositório Institucional do FGV (FGV Repositório Digital) |
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