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Balasko, Yves; Geanakoplos, John - In: Journal of Economic Theory 147 (2012) 2, pp. 400-406

This introduces the symposium on general equilibrium. …

Persistent link: https://www.econbiz.de/10010572387

Rational asset pricing bubbles and portfolio constraints

Hugonnier, Julien - In: Journal of Economic Theory 147 (2012) 6, pp. 2260-2302

This article shows that portfolio constraints can give rise to rational asset pricing bubbles in equilibrium even if … for the existence of an equilibrium. …

Persistent link: https://www.econbiz.de/10010594321

Aggregation of preferences for skewed asset returns

Chabi-Yo, Fousseni; Leisen, Dietmar P.J.; Renault, Eric - In: Journal of Economic Theory 154 (2014) C, pp. 453-489

This paper characterizes the equilibrium demand and risk premiums in the presence of skewness risk. We extend the …

Persistent link: https://www.econbiz.de/10011076670

Regulating collateral-requirements when markets are incomplete

Araújo, Aloísio; Kubler, Felix; Schommer, Susan - In: Journal of Economic Theory 147 (2012) 2, pp. 450-476

assets which all promise a risk less payoff but which distinguish themselves by their collateral requirements. In equilibrium … presence of uncertainty. We explore some examples for which the collateral equilibrium allocation is identical to the Arrow … equilibrium and under which conditions there is scope for regulating margin-requirements, that is, restricting the sets of …

Persistent link: https://www.econbiz.de/10011042948

Counterparty risk externality: Centralized versus over-the-counter markets

Acharya, Viral; Bisin, Alberto - In: Journal of Economic Theory 149 (2014) C, pp. 153-182

We study financial markets where agents share risks, but have incentives to default and their financial positions might not be transparent, that is, might not be mutually observable. We show that a lack of position transparency results in a counterparty risk externality, that manifests itself in...

Persistent link: https://www.econbiz.de/10011042949

Securities market theory: Possession, repo and rehypothecation

Bottazzi, Jean-Marc; Luque, Jaime; Páscoa, Mário R. - In: Journal of Economic Theory 147 (2012) 2, pp. 477-500

discounted cash-flows. Existence of equilibrium is guaranteed under limited re-hypothecation, a situation secured by (current or …

Persistent link: https://www.econbiz.de/10011042994

Why does bad news increase volatility and decrease leverage?

Fostel, Ana; Geanakoplos, John - In: Journal of Economic Theory 147 (2012) 2, pp. 501-525

equilibrium. …

Persistent link: https://www.econbiz.de/10010572379

On the stability of nonsunspot equilibria

Balasko, Yves - In: Journal of Economic Theory 147 (2012) 2, pp. 526-544

This paper analyzes the stability of the (Pareto efficient) nonsunspot equilibria as a function of the constraints faced by consumers in their ability to transfer wealth between states of nature. Equilibria that are stable for the certainty economy define nonsunspot equilibria that are stable in...

Persistent link: https://www.econbiz.de/10010572399

Incomplete market dynamics and cross-sectional distributions

Toda, Alexis Akira - In: Journal of Economic Theory 154 (2014) C, pp. 310-348

, econometric, and social implications—using a tractable dynamic stochastic general equilibrium model with heterogeneous agents … constrained efficiency of equilibrium, and provide a numerical algorithm that is guaranteed to converge. The model is widely …

Persistent link: https://www.econbiz.de/10011076673

Endogenous market power

Weretka, Marek - In: Journal of Economic Theory 146 (2011) 6, pp. 2281-2306

augmented as we provide traders with correct beliefs about their price impacts to define equilibrium with endogenously … determined market power and show that such equilibrium exists in economies with smooth utility and cost functions and is …

Persistent link: https://www.econbiz.de/10011043035