Default and Efficiency in a General Equilibrium Model with Incomplete Markets
Default and Efficiency in a General Equilibrium Model with Incomplete Markets
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发表时间：
1988
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通讯作者：
P. Dubey;J. Geanakoplos;M. Shubik
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作者：
P. Dubey;J. Geanakoplos;M. Shubik
我们扩展了不完全市场一般均衡（GEI）的标准模型，以允许违约。违约可能是战略性的，也可能是运气不好。违约的代理人会受到一定程度的惩罚，惩罚程度与他们违约的大小和惩罚参数λ成正比。我们发现，在类似于保证GEI平衡点存在的条件下，对于任意λ> 0，我们得到了GEI_{λ}平衡点的存在性.我们认为，违约，从而合理地建模为一种均衡现象。此外，我们表明，更宽松的lambda，鼓励违约可能是帕累托改善，因为他们允许更好的风险扩散。当违约发生时，Modigliani-Miller定理在我们的框架中通常不成立。
We extend the standard model of general equilibrium with incomplete markets (GEI) to allow for default. Default can be either strategic, or due to ill-fortune. Agents who default are penalized to a degree proportional to the size of their default and to penalty parameters lambda. We find that under conditions similar to those necessary to guarantee the existence of GEI equilibrium, we get the existence of GEI_{lambda} equilibrium, for any lambda > 0. We argue that default is thus reasonably modeled as an equilibrium phenomenon. Moreover, we show that more lenient lambda which encourage default may be Pareto improving because they allow for better risk spreading. When default occurs, the Modigliani-Miller theorem typically fails to hold in our framework.