Browsing FGV EPGE - Escola Brasileira de Economia e Finanças by Title "Asset pricing when risk sharing is limited by default: a theoretical framework"

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Asset pricing when risk sharing is limited by default: a theoretical framework

Alvarez, Fernando
1997-09-04

We study the asset pricing implications of an endowment economy when agents can default on contracts that would leave them otherwise worse off. We specialize and extend the environment studied by Kocherlakota (1995) and ...