Valuing Government Obligations When Markets Are Incomplete
通过模拟一个面临总体冲击的10期世代交叠模型，用消费资产定价方法为安全型和风险型政府债务定价，发现短期和长期无风险债务的价格由当前无风险收益率决定，而与工资挂钩的债务价格与安全债务几乎相同，但期权形式的政府债务需要显著的风险调整。
Abstract We simulate a 10‐period overlapping generations model with aggregate shocks to price safe and risky government obligations using consumption‐asset pricing. Agents cannot trade with future generations to hedge the model's productivity and depreciation shocks, and can only invest in one‐period bonds and risky capital. We find that the pricing of short‐ and long‐dated riskless obligations is anchored to the prevailing risk‐free return. The prices of obligations whose values are proportional to the prevailing wage are essentially identical to those of safe obligations, notwithstanding large macro shocks. On the contrary, government obligations in the form of options entail significant risk adjustment.