Heterogeneous Beliefs, Wealth Distribution, and Asset Markets with Risk of Default
研究了在异质信念和违约风险下，代理人可交易完整Arrow证券但允许违约，市场内生设定无违约借款限制，导致财富波动、资产收益方差放大和交易量巨大且波动。
We study asset markets and wealth dynamics in the economy with heterogeneous beliefs and risk of default. Agents can trade a full set of Arrow securities but are allowed to default on their delivery promises. Financial markets rationally subject agents to the endogenous “no-default” borrowing limits. Because of the rich menu of financial assets traded in the market speculation opportunities are plentiful. Financial wealth is volatile and the endogenous borrowing limits are always active. Variance of the asset returns is amplified. The asset trading volume is substantial and volatile.