The Market Price of Aggregate Risk and the Wealth Distribution

We introduce limited liability in a model with a continuum of ex ante identical agents who face aggregate and idiosyncratic income risk. These agents can trade a complete menu of contingent claims, but they cannot commit and shares in a Lucas tree serve as collateral to back up their state

本文在包含连续统事前同质主体的模型中引入有限责任设定，该模型中的所有主体均面临总风险与异质性收入风险。此类主体可交易完整的或有求偿权菜单，但无法做出履约承诺，且卢卡斯树（Lucas tree）的股权将作为抵押品，为其各状态下的债务提供担保。