Dynamic Equilibrium with Liquidity Constraints
研究存在流动性约束的经济体，用停时方法求解有限期消费投资问题，分析约束对消费、融资组合的影响，并考察均衡债券和股票收益的性质。
This article studies an intertemporal economy with liquidity constrained and unconstrained individuals. We use a stopping time approach to solve the finite horizonconstrained consumption portfolio problem with constant relative risk aversion and to examine the structure of equilibrium. The impact of the constraint on the optimal consumption and the financing portfolio is assessed. The equilibrium state price density is related to the exercise boundary of an American-style contingent claim with nonlinear payoff. This stopping time characterization enables us to prove the existence of an equilibrium and can be implemented numerically. Properties of equilibrium bond and stock returns are examined. Copyright 2003, Oxford University Press.