Efficiency, equilibrium, and asset pricing with risk of default

By Fernando Alvarez, Urban Jermann. 2000

790 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/be8ef0ed3cd0a189bb1d853d8cec75c6f96879e0

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Citations in the corpus

Chapter 14 The equity premium in retrospect (2003, neutral): “27 For example, Aiyagari and Gertler (1991), Alvarez and Jermann (2000), Bansal and Coleman (1996), Basak and Cuoco (1998), Constantinides, Donaldson and Mehra (2002), Danthine, Donaldson and Mehra (1992), Daniel and Marshall (1997), He and Modest (1995), Heaton and Lucas (1996) and Luttmer (1996),…”
Welfare Implications of the Transition to High Household Debt (2009, background): “Household debt plays a prominent role in existing theories of risk sharing, such as Alvarez and Jermann (2000); so it is unsurprising that existing examinations of household debt growth stress the use of unsecured debt to share risk. For example, Krueger and Perri (2006) argue that the deepening of ”
Aggregate Consequences of Limited Contract Enforceability (2004, neutral): “Examples are Alvarez and Jermann [2], Atkeson [3], Kehoe and Levine [11] and Marcet and Marimon [14].”
Consumption and Portfolio Choice over the Life Cycle (2005, background): “, Alvarez and Jermann (2000), Lustig (2001)]. This section can therefore also be viewed as a study of the portfolio implications of these constraints in an incomplete-markets life cycle model.(17) A first imperfection we incorporate concerns the price: borrowing, when possible, typically occurs at a”
The Market Price of Aggregate Risk and the Wealth Distribution (2005, positive): “To determine the appropriate solvency constraints in the case of permanent exclusion, the lender needs to know the borrower's endowment process and her preferences (Alvarez and Jermann (2000)).”
Growth and welfare effects of business cycles in economies with idiosyncratic human capital risk (2003, background): “Alvarez and Jermann (2000) provide a general discussion of the relationship between the equity premium and the welfare cost of business cycles in representative-agent economies.”
Temporary Migration and Endogenous Risk Sharing in Village India (2019, background): “Alvarez and Jermann (2000) show how to decentralize the limited commitment problem with endogenous solvency constraints; Abraham and Carceles-Poveda (2006) extend this result to the case of limited commitment with capital accumulation.”
The Levered Equity Risk Premium and Credit Spreads: A Unified Framework (2010, neutral): “The output of firm n, Yn, is divided between earnings, Xn, and wages and other human capital income, Wn, paid to workers.”
Default risk and income fluctuations in emerging economies (2008, background): “During the crisis, consumption and output collapsed, interest rates increased, and the trade balance experienced a sharp reversal.(3) This evidence indicates that a priority for theoretical work in emerging markets macroeconomics is understanding markets for international credit, and in particular t”
Housing, Finance and the Macroeconomy (2014, positive): “This friction limits the degree of risk sharing that can be achieved as in the limited commitment model of Alvarez and Jermann (2000, 2001). Unlike other models in which households that default are denied access to financial markets, the punishment for default in Lustig and Van Nieuwerburgh (2007) i”
Earnings, consumption and lifecycle choices (2010, neutral): “Alvarez and Jermann (2000), for example, explore the nature of income insurance schemes in economies where agents cannot be prevented from withdrawing participation if the loss from the accumulated future income gains they are asked to forgo becomes greater than the gains from continuing…”
Liquidity Constrained Markets Versus Debt Constrained Markets (2001, methodology): “Examples of models of liquidity constraints can be found in Bewley [1980], Dumas [1980], Townsend [1980], Scheinkman and Weiss [1986], Abel [1990], Kehoe, Levine, and Woodford [1992] and Heaton and Lucas [1997].”