Asset prices, debt constraints and inefficiency

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• 作者：Gaetano Bloise^a ; ^{gaetano.bloise@uniroma3.it"" rel=""nofollow} ; Pietro Reichlin^b ; ^c ; ^d ; ^{preichlin@luiss.it"" rel=""nofollow}
• 关键词：Private debt ; Solvency constraints ; Default ; Cass Criterion ; Asset prices ; Incomplete markets ; Constrained inefficiency ; Transversality condition
• 刊名：Journal of Economic Theory
• 出版年：2011
• 出版时间：July 2011
• 年：2011
• 卷：146
• 期：4
• 页码：1520-1546
• 全文大小：222 K

文摘

We consider (possibly non-stationary) economies with endogenous solvency constraints under uncertainty over an infinite horizon, as in Alvarez and Jermann (2000) [5]. A sort of Cass Criterion (Cass, 1972 [10]) completely characterizes constrained inefficiency under the hypothesis of uniform gains from risk-sharing (which is always satisfied in stationary economies when the autarchy is constrained inefficient). Uniform gains from risk-sharing also guarantee a finite value of the intertemporal aggregate endowment at a constrained optimum. Hence, no equilibrium exhibits a null interest rate in the long run. Finally, constrained inefficiency occurs if and only if there exists a feasible redistribution producing a welfare improvement at all contingencies.