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Creator: Alvarez, Fernando, 1964 and Jermann, Urban J. Series: Endogenous incompleteness Abstract: We study the asset pricing implications of a multiagent 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.
关键词: Equilibrium, Default, Solvency constraints, Risk, Shocks, and Assets 学科: G12  General financial markets  Asset pricing ; Trading volume ; Bond interest rates and D50  General equilibrium and disequilibrium  General 
Creator: Jackson, Matthew O. and Peck, James Series: Finance, fluctuations, and development Abstract: We examine price formation in a simple static model with asymmetric information, a countable number of risk neutral traders and without noise traders. Prices can exhibit excess volatility (the variance of prices exceeds the variance of dividends), even in such a simple model. More generally, we show that for an open set of parameter values no equilibrium has prices which turn out to equal the value of dividends state by state, while for another open set of parameter values there exist equilibria such that equilibrium prices equal the value of dividends state by state. When information collection is endogenous and costly, expected prices exhibit a "Vshape" as a function of the cost of information: They are maximized when information is either costless so that everyone acquires it, or else is so costly that no one chooses to acquire it. Prices are depressed if information is cheap enough so that some agents become informed, while others do not. If the model is altered so that information is useful in making productive decisions, then the Vshape is altered, reducing the attractiveness of prohibitively high costs.
学科: D50  General equilibrium and disequilibrium  General, C70  Game theory and bargaining theory  General, and G14  General financial markets  Information and market efficiency ; Event studies 

Creator: Goenka, Aditya and Spear, Stephen E. Series: Finance, fluctuations, and development Abstract: This paper develops a dynamic model of general imperfect competition by embedding the ShapleyShubik model of market games into an overlapping generations framework. Existence of an open market equilibrium where there is trading at each post is demonstrated when there are an arbitrary (finite) number of commodities in each period and an arbitrary (finite) number of consumers in each generation. The open market equilibria are fully characterized when there is a single consumption good in each period and it is shown that stationary open market equilibria exist if endowments are not Pareto optimal. Two examples are also given. The first calculates the stationary equilibrium in an economy, and the second shows that the on replicating the economy the stationary equilibria converge to the unique nonautarky stationary equilibrium in the corresponding Walrasian overlapping generations economy. Preliminary ongoing work indicates the possibility of cycles and other fluctuations even in the loglinear economy.
关键词: General equilibirum theory, Game theory, and Overlapping generations model 学科: D50  General equilibrium and disequilibrium  General, C72  Game theory and bargaining theory  Noncooperative games, and D91  Intertemporal choice and growth  Intertemporal consumer choice ; Life cycle models and saving 
Creator: Cole, Harold Linh, 1957 and Ohanian, Lee E. Series: Great depressions of the twentieth century Abstract: There are two striking aspects of the recovery from the Great Depression in the United States: the recovery was very weak and real wages in several sectors rose significantly above trend. These data contrast sharply with neoclassical theory, which predicts a strong recovery with low real wages. We evaluate whether New Deal cartelization policies designed to limit competition among firms and increase labor bargaining power can account for the persistence of the Depression. We develop a model of the intraindustry bargaining process between labor and firms that occurred with these policies, and embed that model within a multisector dynamic general equilibrium model. We find that New Deal cartelization policies are an important factor in accounting for the post1933 Depression. We also find that the key depressing element of New Deal policies was not collusion per se, but rather the link between paying high wages and collusion.
关键词: New Deal, Great Depression, Competition, Cartels, Wages, and Collective bargaining 学科: D50  General equilibrium and disequilibrium  General and J58  Labormanagement relations, trade unions, and collective bargaining  Public policy