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引用次数: 0
摘要
本文将模糊性和信息处理限制纳入 He 和 Krishnamurthy(2012 年)的中介资产定价模型。金融中介比家庭拥有更强的信息处理能力。作为回应,家庭会最优化地选择委托他人做出投资决策。家庭与中介之间的契约关系受到道德风险摩擦的影响,从而导致金融约束。我们的研究表明,模糊厌恶不仅会放大家庭委托投资的动机,还会收紧财务约束。校准后的模型可以定量解释观察到的资产价格的无条件矩和时变矩,同时内生地产生与经验一致的危机频率。
Ambiguity, information processing, and financial intermediation
This paper incorporates ambiguity and information processing constraints into the He and Krishnamurthy (2012) model of intermediary asset pricing. Financial intermediaries possess greater information processing capacity than households. In response, households optimally choose to delegate their investment decisions. The contractual relationship between households and intermediaries is subject to a moral hazard friction, which results in a financial constraint. We show that ambiguity aversion not only amplifies households' incentives to delegate but also tightens the financial constraint. The calibrated model can quantitatively explain both the unconditional and time-varying moments of observed asset prices while endogenously generating an empirically consistent crisis frequency.
期刊介绍:
The Journal of Economic Theory publishes original research on economic theory and emphasizes the theoretical analysis of economic models, including the study of related mathematical techniques. JET is the leading journal in economic theory. It is also one of nine core journals in all of economics. Among these journals, the Journal of Economic Theory ranks fourth in impact-adjusted citations.