Efficiency, Equilibrium, and Asset Pricing with Risk of Default
提出一种新的均衡概念，引入内生偿付能力约束以防止违约，但会减少风险分担。研究发现利率更低，风险溢价取决于个体与总体冲击的协方差，资产价格仅由面临较大个体风险的代理人决定。
We introduce a new equilibrium concept and study its efficiency and asset pricing implications for the environment analyzed by Kehoe and Levine (1993) and Kocherlakota (1996). Our equilibrium concept has complete markets and endogenous solvency constraints. These solvency constraints prevent default at the cost of reducing risk sharing. We show versions of the welfare theorems. We characterize the preferences and endowments that lead to equilibria with incomplete risk sharing. We compare the resulting pricing kernel with the one for economies without participation constraints: interest rates are lower and risk premia depend on the covariance of the idiosyncratic and aggregate shocks. Additionally, we show that asset prices depend only on the valuation of agents with substantial idiosyncratic risk.