Leverage and Default in Binomial Economies: A Complete Characterization
完整刻画了以金融资产为抵押的二项经济体中的杠杆与违约，证明实际违约无关紧要，但违约可能性驱动均衡并限制借贷，并推导出杠杆与波动率之间的精确关系。
Our paper provides a complete characterization of leverage and default in binomial economies with financial assets serving as collateral.First, our Binomial No-Default Theorem states that any equilibrium is equivalent (in real allocations and prices) to another equilibrium in which there is no default.Thus actual default is irrelevant, though the potential for default drives the equilibrium and limits borrowing.This result is valid with arbitrary preferences and endowments, arbitrary promises, many assets and consumption goods, production, and multiple periods.We also show that the no-default equilibrium would be selected if there were the slightest cost of using collateral or handling default.Second, our Binomial Leverage Theorem shows that equilibrium LT V for non-contingent debt contracts is the ratio of the worst-case return of the asset to the riskless rate of interest.Finally, our Binomial Leverage-Volatility theorem provides a precise link between leverage and volatility.