Asset prices, debt constraints and inefficiency

• 成果类型: Article
• 署名作者: Bloise, Gaetano; Reichlin, Pietro
• 署名单位: Roma Tre University; Luiss Guido Carli University
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2011.03.007
• 发表日期: 2011
• 页码: 1520-1546
• 关键词: Private debt; Solvency constraints; default; Cass Criterion; asset prices; incomplete markets; Constrained inefficiency; Transversality condition

摘要

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. (C)2011 Elsevier Inc. All rights reserved.