Quantitative Asset Pricing Implications of Endogenous Solvency Constraints
研究内生偿付约束如何影响资产定价，通过解析模型和校准美国数据，发现低风险厌恶和低时间贴现因子下，股权溢价、长期债券风险溢价和夏普比率与美国数据相近。
We study the asset pricing implications of an economy where solvency constraints are endogenously determined to deter agents from defaulting while allowing as much risk sharing as possible. We solve analytically for efficient allocations and for the corresponding asset prices, portfolio holdings, and solvency constraints for a simple example. Then we calibrate a more general model to U.S. aggregate as well as idiosyncratic income processes. We find equity premia, risk premia for long-term bonds, and Sharpe ratios of magnitudes similar to the U.S. data for lowrisk aversion and a low time-discount factor.