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作者：Braido, Luis H. B.
摘要：This paper studies recursive exchange economies with short sales. Agents maximize discounted expected utility. The asset structure is general and includes real securities, infinite-lived stocks, options, and other derivatives. The main result shows the existence of a competitive equilibrium process that is stationary and has an invariant ergodic measure. Ergodicity is required in finance for time series analysis of structural asset pricing models. This equilibrium property is difficult to obta...
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作者：Ordonez, Guillermo L.
作者单位：University of Pennsylvania
摘要：Reputation concerns in credit markets restrain borrowers' temptations to take excessive risk. The strength of these concerns depends on the behavior of other borrowers, rendering the reputational discipline fragile and subject to breakdowns without obvious changes in economic fundamentals. Furthermore, at an aggregate level, breakdowns are clustered among borrowers who have intermediate and good reputations, magnifying otherwise small economic shocks.
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作者：Mailath, George J.; Postlewaite, Andrew; Samuelson, Larry
作者单位：University of Pennsylvania; Yale University
摘要：Different markets are cleared by different types of prices: seller-specific prices that are uniform across buyers in some markets and personalized prices tailored to the buyer in others. We examine a setting in which buyers and sellers make investments before matching in a competitive market. We introduce the notion of premuneration valuesthe values to the transacting agents prior to any transferscreated by a buyerseller match. Personalized-price equilibrium outcomes are independent of premune...
