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Collateralized Assets And Asymmetric Information

Petrassi, Myrian; Torres-Martinez, Juan Pablo - Departamento de Economia, Pontifícia Universidade … - 2007

information to allow for default. We show that, independently of the financial-informational structure, equilibrium exists. …

Persistent link: https://www.econbiz.de/10005744605

Using elasticities to derive optimal bankruptcy exemptions

Dávila, Eduardo - 2016

This paper studies the optimal determination of bankruptcy exemptions for risk averse borrowers who use unsecured contracts but have the possibility of defaulting. I show that, in a large class of economies, knowledge of four variables is sufficient to determine whether a bankruptcy exemption...

Persistent link: https://www.econbiz.de/10011975293

Bankruptcy in General Equilibrium

Sabarwal, Tarun - 2019

In this paper, I construct a model of an exchange economy in which bankruptcy arises in a manner similar to what we observe. This model is a more realistic representation of some markets in which intertemporal assets are traded. Using standard and natural assumptions, I show that every economy...

Persistent link: https://www.econbiz.de/10012889092

Financial Crashes versus liquidity trap : the dilemma of monetary policy.

Giraud, Gaël - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2010

This paper considers a two-period monetary double auction with incomplete markets of securities and derivatives. Players may share heterogenous beliefs. Short positions in derivatives are constrained by collateral requirements. A central Bank stands ready to lend money or engage in...

Persistent link: https://www.econbiz.de/10009398285

Debt-Deflation versus the Liquidity Trap: The Dilemma of Nonconventional Monetary Policy.

Giraud, Gaël; Pottier, Antonin - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2012

backed by collateral, the value of which depends on monetary policy. The decision to default is endogenous and depends on the … of monetary policy highlights the default channel affecting trades and production, and provides a rigorous foundation to …

Persistent link: https://www.econbiz.de/10010711866

Capital Ownership under Market Incompleteness: Does it matter?

Carceles-Poveda, Eva - Society for Computational Economics - SCE - 2003

Persistent link: https://www.econbiz.de/10005345704

Endogenous Trading Constraints in Asset Markets

Carceles-Poveda, Eva; Abraham, Arpad - Society for Computational Economics - SCE - 2003

Persistent link: https://www.econbiz.de/10005706773

Endogenous Trading Constraints with Incomplete Asset Markets

Poveda, Eva Carceles; Abraham, Arpad - Society for Economic Dynamics - SED - 2004

The present project introduces the possibility of default on the trading contracts in an infinite horizon incomplete … from the default period on. Further, to avoid this happening in equilibrium, the trading limits are endogenously determined … objectives are to quantify and characterize the endogenous limits resulting from the option of default and to study their real …

Persistent link: https://www.econbiz.de/10005051440

Endogenous Leverage: VaR and Beyond

Fostel, Ana; Geanakoplos, John - Cowles Foundation for Research in Economics, Yale University - 2011

leverage emerges in equilibrium at the maximum level such that VaR = 0, so there is no default in equilibrium, provided that … among the investors, equilibrium default is normal. Second, we find that more than one contract is actively traded in …

Persistent link: https://www.econbiz.de/10009018061

Asset Prices and Business Cycles under Market Incompleteness

Carceles-Poveda, Eva - In: Review of Economic Dynamics 12 (2009) 3, pp. 405-422

In this paper, we study the quantitative implications of a real business cycle model where the firm is the capital owner, households are heterogeneous, and markets are incomplete due to restricted asset trade. Since, under these assumptions, the usual firm objective is no longer well defined,...

Persistent link: https://www.econbiz.de/10004991317