Endogenous borrowing constraints with incomplete markets

• 成果类型: Article
• 署名作者: Zhang, HH
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.1997.tb02758.x
• 发表日期: 1997
• 页码: 2187-2209
• 关键词: equity premium; asset returns; RISK; models

摘要

This article develops ways to endogenize the borrowing constraints used in a class of computable incomplete markets models. We allow the constraints to depend on an investor's characteristics such as time preference, risk aversion, and income streams. The proposed constraint can be interpreted as a borrowing Limit;within which an investor has no incentive to default. Using a numerical algorithm, we find that for an array of structural parameters, the endogenous borrowing constraints can be much less stringent than the ad hoc borrowing constraints adopted by the existing studies.