Endogenous Borrowing Constraints with Incomplete Markets
提出一种内生借贷约束方法，使约束依赖于投资者的时间偏好、风险厌恶和收入流，并解释为无违约激励的借贷上限。数值结果表明，该约束比现有研究的临时约束更宽松。
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.