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Existence of an equilibrium for infinite horizon economies with and without complete information
(Elsevier Science Sa, 2012-08)
This work proves the existence of an equilibrium for an infinite horizon economy where trade takes place sequentially over time. There exist two types of agents: the first correctly anticipates all future contingent ...
Sequential equilibrium in incomplete markets with long-term debt
(Universidad de Chile. Facultad de Economía y Negocios, 2018)
This paper proves equilibrium existence in an incomplete market sequential economy
with finitely-lived debt contracts. Introducing credit constraints limiting agents’ access to liquidity, we show that a competitive ...
Conventional and unconventional monetary policy with endogenous collateral constraints
(Amer Economic Assoc, 2015-01)
We consider the effects of central bank purchases of a risky asset as an additional dimension of policy alongside 'conventional' interest rate policy in a general-equilibrium model of asset pricing with endogenous collateral ...
On equilibrium existence with endogenous restricted financial participation
(Elsevier, 2011)
Without requiring either financial survival assumptions or linear spanning conditions over financial
spaces, we prove equilibrium existence in an abstract incomplete market economy with endogenous
restricted financial ...
Endogenous debt constraints in collateralized economies with default penalties
(Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2011-06-30)
In infinite horizon financial markets economies, competitive equilibria fail to exist if one does not impose restrictions on agents' trades that rule out Ponzi schemes. When there is limited commitment and collateral ...
General economic equilibrium with financial markets and retainability
(Springer, 2017)
A theory of economic equilibrium for incomplete financial markets in general real assets is developed in a new formulation with currency-denominated prices. The "goods" are not only commodities, and they can influence ...
Endogenous differential information
(2017)
We include endogenous differential information in a model with sequential trade and incomplete financial participation. Agents update information through market signals given by commodity prices and asset deliveries. ...
Essays on asset pricing and option valuation
(2020-12-21)
Esta tese é composta por quatro ensaios sobre precificação de ativos e opções. O primeiro ensaio estuda a precificação de opções de índice no contexto de mercados incompletos. Um novo método é fornecido para construir ...
Super-replication in economies with imperfect financial markets
(2018)
This article addresses equilibrium existence in an infinite horizon economy with incomplete markets and endogenous credit segmentation. We do not restrict consumption allocation to be bounded and we do not impose uniform ...