Creator: Smith, Bruce D., d. 2002. and Stutzer, Michael J. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 410 Keyword: Farm Credit System, Dividends, Mutuals, FCS, Adverse selection, Risk, and Assets Subject: Q14 - Agriculture - Agricultural finance and H81 - Miscellaneous issues - Governmental loans, loan guarantees, credits, and grants
Creator: Alvarez, Fernando, 1964- and Jermann, Urban J. Series: Endogenous incompleteness Abstract: We study the asset pricing implications of a multi-agent endowment economy where agents can default on debt. We build on the environment studied by Kocherlakota (1995) and Kehoe and Levine (1993). We present an equilibrium concept for an economy with complete markets and with endogenous solvency constraints. These solvency constraints prevent default, but at the cost of reduced risk sharing. We show that versions of the classical welfare theorems hold for this equilibrium definition. We characterize the pricing kernel, and compare it to the one for economies without participation constraints: interest rates are lower and risk premia depend on the covariance of the idiosyncratic and aggregate shocks. Keyword: Equilibrium, Default, Solvency constraints, Risk, Shocks, and Assets Subject: G12 - General financial markets - Asset pricing ; Trading volume ; Bond interest rates and D50 - General equilibrium and disequilibrium - General
Creator: Wallace, Neil. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 347 Description:
The Harry G. Johnson Lecture, presented at the 1987 A.U.T.E. and the Royal Economic Society Conference, Aberyswyth, April 1-4.
Keyword: Inside money, Equilibrium model, Monetary theory, Assets, Outside money, and Currency Subject: G12 - General financial markets - Asset pricing ; Trading volume ; Bond interest rates and E40 - Money and interest rates - General