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Debt-Constrained Asset Markets
Open accessAbstract
We develop a theory of general equilibrium with endogenous debt limits in the form of individual rationality constraints similar to those in the dynamic consistency literature. If an agent defaults on a contract, he can be excluded from future contingent claims markets trading and can have his assets seized. He cannot be excluded from spot markets trading, however, and he has some private endowments that cannot be seized. All information is publicly held and common knowledge, and there is a complete set of contingent claims markets. Since there is complete information, an agent cannot enter into a contract in which he would have an incentive to default in some state. In general there is only partial insurance: variations in consumption may be imperfectly correlated across agents; interest rates may be lower than they would be without constraints; and equilibria may be Pareto ranked.
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Cited by
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Caballero, R. J., & Krishnamurthy, A. (2001) · Journal of Monetary Economics · doi:10.1016/s0304-3932(01)00084-8 · Cited by 678
Gromb, D., & Vayanos, D. (2010) · Annual Review of Financial Economics · doi:10.1146/annurev-financial-073009-104107 · Cited by 478
Chapter 8 Micro data and general equilibrium models
(1999) · Handbook of Macroeconomics · doi:10.1016/s1574-0048(99)01011-3 · Cited by 458
The nature of credit constraints and human capital
Lochner, L. J., & Monge-Naranjo, A. (2011) · American Economic Review · doi:10.1257/aer.101.6.2487 · Cited by 347
Berentsen, A., Camera, G., & Waller, C. (2007) · Journal of Economic Theory · doi:10.1016/j.jet.2006.03.016 · Cited by 324
Liquidity: A New Monetarist Perspective
Lagos, R., Rocheteau, G., & Wright, R. (2017) · Journal of Economic Literature · doi:10.1257/jel.20141195 · Cited by 267
Metadata
- Authors
- Kehoe, T. J., & Levine, D. K.
- Venue
- The Review of Economic Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 1993-10-01
- Volume
- 60
- Issue
- 4
- Pages
- 865-888
- ISSN
- 0034-6527 (ISSN-L)
- 1467-937X
- OpenAlex
- W1482279368
- Cited by
- 900
- References
- 0
- FWCI
- 7.07
- Type
- journal article
- Language
- en
- Open access
- gold
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