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Equilibrium in stochastic economies with incomplete financial marketsEquilibrium in stochastic economies with incomplete financial markets
(Sociedade Brasileira de Econometria, 2002)
Endogenous borrowing constraints and default when markets are incomplete
(Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2001-09-17)
Incomplete markets and non-default borrowing constraints increase the volatility of pricing kernels and are helpful when addressing assetpricing puzzles. However, ruling out default when markets are in complete is suboptimal. ...
Collateral avoids Ponzi schemes in incomplete markets
(Escola de Pós-Graduação em Economia da FGV, 2001-05-01)
Without introducing neither debt constraints nor transversality conditions to avoid the possibility of Ponzi schemes, we show existence of equilibrium in an incomplete markets economy with a collateral structure.
Infinite horizon incomplete markets with a continuum of states
(Blackwell Publishing Inc., 1996)
In this paper we address existence of equilibria in an incomplete markets economy with countably many periods and a continuum of states at each node of the infinite tree. We consider two models: one where agents have to ...
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 ...
Monetary policy and inequality under household heterogeneity and incomplete markets
(Pontificia Universidad Católica del Perú, 2022)
Ergodic Markov equilibrium with incomplete markets and short sales
(2013)
This paper studies recursive exchange economies with short sales. Agents maximize discounted expected utility. The asset structure is general and includes real securities, infinite-lived stocks, options, and other derivatives. ...