Short-Selling, Default Risk and the Existence of Equilibrium in a Securities Model
指出，在允许无限卖空的证券模型中，债权人会因违约风险而自然施加投资组合约束，从而保证均衡存在，反驳了此前认为需强假设的观点。
In a recent paper, Hart [1974] has argued that in a securities model, which allows unlimited short-selling, an equilibrium exists as long as there is not too much disagreement about security returns. A similar result was obtained by Green [1973, 1974] for commodity short-selling in a temporary equilibrium model. These results are qulite disturbing because, as Green [1973] suggests, in a 'perfect' world witlhout collateral constraint 'imperfections', an equilibrium may not exist unless quite strong restrictions are imposed on expectations. From the most casual of observations it is clear that lenders impose considerable constraints on the portfolio decisions of borrowers. Whereas Green, and many other writers, have viewed these constraints as capital market imperfections, I will argue that such constraints arise quite naturally, as a lender's response to the possibility of default risk.2 It should be made clear that these constraints do not necessarily eliminate the possibility of default, but are constraints imposed, by lenders, to ensure that borrowers have resources sufficient to cover the risk of the loan. Green and Hart (hereafter G-H) have introduced an implicit assumption that creditors are extremely naive in their lending policies.3 G-H assume that creditors will accept securities, from a borrower, that promise payments far in excess of possible aggregate endowments for the economy in the future indeed, they assume infinite promises are possible! The point of this paper is to examine some possible constraints on portfolios that arise from lenders' perceptionls of default risk. These constraints will arise from rational decisions on the part of economic agents, where rationality will be taken to imply that borrowers willingly choose portfolios that imply future default when that claim can be issued at a price consistent with no default, but that no lender will knowingly allow a borrower to take such a position. Given this type of constraint, I will show that an equilibrium exists in an asset economy. The plan of this paper is as follows: Section 1 outlines a simple security