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Production and endogenous bankruptcy under collateral constraints

León-Ledesma, Miguel A.; Orrillo, Jaime - 2016

We propose an extension of the incomplete markets general equilibrium model with production to situations in which firms default. In the model, firms are assumed to be owned by a single individual whose roles as entrepreneur and consumer are anonymous. Assets are exogenously collateralised and...

Persistent link: https://www.econbiz.de/10011801395

A general equilibrium financial asset economy with transaction costs and trading constraints

Milne, Frank; Neave, Edwin - 2003

regions of no trade and to bid-ask spreads: their existence frustrate the derivation of standard results in arbitrage …

Persistent link: https://www.econbiz.de/10010290443

Existence of Equilibrium and Price Adjustments in a Finance Economy with Incomplete Markets

Talman, Dolf; Thijssen, J.J.J. - Tilburg University, Center for Economic Research - 2003

In this paper, several problem reduction techniques are discussed that can be used to reduce the solution time of set partitioning problems. These techniques can be applied in any solution algorithm for set partitioning problems. Besides a short review of the existing literature on preprocessing...

Persistent link: https://www.econbiz.de/10011092120

The Robustness of the CAPM - A Computational Approach

Herings, P.J.J.; Kubler, F. - Tilburg University, Center for Economic Research - 1999

In this paper we argue that in realistically calibrated two period general equilibrium models with incomplete markets CAPM-pricing provides a good benchmark for equilibrium prices even when agents are not mean-variance optimizers and returns are not normally distributed. We numerically...

Persistent link: https://www.econbiz.de/10011092773

General Equilibrium with Endogenous Trading Constraints

Cea-Echenique, Sebastián; Torres-Martínez, Juan Pablo - Volkswirtschaftliche Fakultät, … - 2014

financial trade dependent on prices and consumption decisions. Besides, our framework is compatible with the existence of … endogenous financial segmentation and credit markets' exclusion. Two results of equilibrium existence are shown. In the first one …

Persistent link: https://www.econbiz.de/10011113684

Credit segmentation in general equilibrium.

Cea-Echenique, Sebastián; Torres-Martínez, Juan Pablo - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2014

precluding bankruptcy, or assets backed by physical collateral. To prove equilibrium existence, we assume that transfers …

Persistent link: https://www.econbiz.de/10011123712

On the existence of approximated equilibria in discontinuous economies

Bich, Philippe - Université Paris-Dauphine (Paris IX) - 2005

In this paper, we prove an existence theorem for approximated equilibria in a class of discontinuous economies. The … existence result is a direct consequence of a discontinuous extension of Brouwer’s fixed point Theorem (1912), and is a ….E.J., 1912. Über Abbildung von Mannigfaltigkeiten. Mathematische Annalen 71, 97–115.] As a by-product, we get the first existence …

Persistent link: https://www.econbiz.de/10011072233

On the orientability of the asset equilibrium manifold

Bich, Philippe - Université Paris-Dauphine (Paris IX) - 2006

This paper addresses partly an open question raised in the Handbook of Mathematical Economics about the orientability of the pseudo-equilibrium manifold in the basic two-period General Equilibrium with Incomplete Markets (GEI) model. For a broad class of explicit asset structures, it is proved...

Persistent link: https://www.econbiz.de/10011072967

Incomplete-markets economies: the seminal work of Diamond, Drèze and Radner

DEHEZ, Pierre - Center for Operations Research and Econometrics (CORE), … - 2012

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

Persistent link: https://www.econbiz.de/10010927713

Regulating collateral-requirements when markets are incomplete

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

In this paper we examine the effects of default and collateral on risk sharing. We assume that there is a large set of assets which all promise a risk less payoff but which distinguish themselves by their collateral requirements. In equilibrium agents default, the assets have different payoffs,...

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