Martingale properties of self-enforcing debt

被引：7

作者：

Bidian, Florin ^{[1
]}

Bejan, Camelia ^{[2
]}

机构：

[1] Georgia State Univ, Robinson Coll Business, Atlanta, GA 30302 USA

[2] Univ Washington Bothell, Sch Business, Bothell, WA 98011 USA

来源：

ECONOMIC THEORY | 2015年 / 60卷 / 01期

关键词：

Endogenous debt limits; Not-too-tight constraints; Limited enforcement; RISK; EQUILIBRIUM; BUBBLES; ENFORCEMENT; CONSTRAINTS; EDUCATION; DEFAULT;

D O I：

10.1007/s00199-014-0832-0

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Not-too-tight debt limits are endogenous restrictions on debt that prevent agents from defaulting and opting for a specified continuation utility, while allowing for maximal credit expansion. For an agent facing some fixed prices for the Arrow securities, we prove that discounted not-too-tight debt limits must differ by a martingale.

引用

页码：35 / 57

页数：23

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