We consider an infinite-horizon exchange economy with incomplete markets and collateral constraints. As in the two-period model of Geanakoplos and Zame (1998) households can default on their liabilities at any time without any utility penalties or loss of reputation. Financial securities are...

Many assets derive their value not only from future cash flows but also from their ability to serve as collateral. In this paper, we investigate this collateral value and its impact on asset returns in an infinite-horizon general equilibrium model with heterogeneous agents facing collateral...

In this paper we examine the effect of collateral constraints and margin requirements on the prices of long-lived assets. We consider a Lucas-style infinite-horizon exchange economy with heterogenous agents and collateral constraints. In our calibrated economy collateral constraints lead to a...

In this paper we examine the volatility of asset returns in a canonical stochastic overlapping generations economy with sequentially complete markets. We show that movements in the in- tergenerational wealth distribution strongly affect asset prices since older generations have a lower...

In this paper we examine the effect of collateral requirements on the prices of long- lived assets. We consider a Lucas-style infinite-horizon exchange economy with heteroge- nous agents and collateral constraints. There are two trees in the economy which can be used as collateral for short-term...

While equilibrium allocations in models with incomplete markets are generally not Pareto-efficient, it is often argued that quantitative welfare losses from missing assets are small when time-horizons are long and shocks are transitory. In this paper we use a computational analyses to show that...

The trading volume of long-lived securities with recursive payoffs, such as equity, is generically zero in infinite-horizon recursive pure exchange Lucas asset models with heterogeneous agents. In equilibrium, there is no portfolio rebalancing of such assets. More generally, the end-of-period...

This paper develops theoretical foundations for an error analysis of approximate equilibria in dynamic stochastic general equilibrium models with heterogeneous agents and incomplete financial markets. While there are several algorithms which compute prices and allocations for which agents' first...

In this paper we examine the likelihood of multiple real steady states in deterministic exchange economies with overlapping generations. There is a single good and a single agent per generation with constant relative risk aversion expected utility. In order to test for multiple equilibria we...

This paper develops a method to compute the equilibrium correspondence for exchange economies with semi-algebraic preferences. Given a class of semi-algebraic exchange economies parameterized by individual endowments and possibly other exogenous variables such as preference parameters or asset...