Endogenous Borrowing Constraints With Incomplete Markets
提出一种方法，使不完全市场模型中的借贷约束内生化，约束取决于投资者的时间偏好、风险厌恶和收入流，且投资者无违约激励。数值结果表明，内生约束比现有研究中的临时约束更宽松。
ABSTRACT This article develops ways to endogenize the borrowing constraints used in a class of computable incomplete markets models. We allow the constraints to depend on an investor's characteristics such as time preference, risk aversion, and income streams. The proposed constraint can be interpreted as a borrowing limit within which an investor has no incentive to default. Using a numerical algorithm, we find that for an array of structural parameters, the endogenous borrowing constraints can be much less stringent than the ad hoc borrowing constraints adopted by the existing studies.