The present note highlights the seminal contributions of Diamond, Drèze and Radner towards the integration of financial markets into general equilibrium modeling.

In this paper we analyze the effects of restricted participation in a two-period gen- eral equilibrium model with uncertainty in the second period and real assets. Similar to certain arrangements in the market for bank loans, household borrowing is restricted by a household-specific wealth...

We consider a model with real assets and restricted participation described by household specific price dependent short selling constraints. We show existence of equilibria for all elements in an explicitly characterized large subset of the set of economies.

We consider a pure exchange, general equilibrium model, with two periods and a finite number of states, commodities, numeraire assets, and households. Participation in the asset markets is restricted in a household specific manner, imposing upper bounds on the amounts of borrowing which can be...

This paper develops a dynamic model of the returns of the Stock Market Index of the Mexican Stock Exchange within the framework of the theory of extreme values and, in particular, carries out an application of the Generalized Pareto Distribution. The statistical analysis shows that many of the...

We develop an agent-based model in which heterogenous and boundedly rational agents interact by trading a risky asset at an endogenously set price. Agents are endowed with balance sheets comprising the risky asset as well as cash on the asset side and equity capital as well as debt on the...

We develop an agent-based model in which heterogeneous and boundedly rational agents interact by trading a risky asset at an endogenously set price. Agents are endowed with balance sheets comprising the risky asset as well as cash on the asset side and equity capital as well as debt on the...

We develop an agent-based model in which heterogeneous and boundedly rational agents interact by trading a risky asset at an endogenously set price. Agents are endowed with balance sheets comprising the risky asset as well as cash on the asset side and equity capital as well as debt on the...

The main aim of this paper is to emphasize the fact that the economic crisis are common phenomena. We aim to prove that these phenomena are not so unpredictable and surprising as some economists claim nowadays. We are trying to identify and disclose the pattern of a typical period of economic...