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
收藏
页码：35 / 57
页数：23
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