The effects of moral hazard on asset prices when financial markets are complete

• 成果类型: Article
• 署名作者: Kocherlakota, NR
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Minneapolis
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/S0304-3932(97)00066-4
• 发表日期: 1998
• 页码: 39-56
• 关键词: Moral hazard; asset pricing

摘要

This paper discusses the implications for prices and quantities of an alternative trading arrangement in Kahn's (1990) economic environment with moral hazard. Unlike Kahn's model of asset trade, my model does not impose any unmotivated restrictions on short sales. Instead, it features complete markets and publicly observable asset transactions. Like Kahn's model, my model implies that allocations are (constrained) Pareto optimal. However, the implications of my model for asset prices are considerably different. In particular, when all agents have log utility, asset prices satisfy an aggregation theorem; also, unlike Kahn's model, the model in this paper does worse than the standard representative agent model in terms of explaining the equity premium. (C) 1998 Elsevier Science B.V. All rights reserved.