信用リスクを市場変数とする一般均衡モデルにおける経済厚生

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概要

• 論文の詳細を見る

• Although standard market models prohibit the possibility of defaults on the delivery of goods, services, money, credits, etc., in the real world, defaulting is admitted in economic trades under some circumstances, and even backed as a legal right of economic agents. In this paper, I introduce a general equilibrium model on trades of general binary contracts, where default risks, as probabilities that contracts are nullified by either side, are publicly observable market variables which agents treat as given. I define a refined equilibrium and a social allocation mechanism of this model, and, show that, under several structural assumptions on the refined equilibrium or the allocation mechanism, the first welfare theorem and the second welfare theorem holds in this model. These results are counterparts of the welfare theorems obtained in the adverse selection models, where there are many types of buyers but only one type of seller, and a type of a buyer is a private information.

• 千葉大学の論文
• 2006-03-15

著者

• 金子 文洋

  千葉大学

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