Páscoa and Seghir (2009) presented two examples to show that in the presence of utility penalties for default, collateral requirements do not always eliminate the occurrence of Ponzi schemes and equilibria may fail to exist. This paper aims at providing a counterexample to their claim. We show...

The objective of the paper is to propose endogenous debt constraints that rule out Ponzi schemes and ensure the existence of equilibria in a model with limited commitment and (possible) default. We appropriately modify the definition of finitely effective debt constraints, introduced by Levine...

Estimating continuous-time short-rate models is challenging since the likelihood function for most popular models is unknown. While approximate likelihood functions are often used, this practice induces bias into the estimation process. This paper explores a Bayesian method of estimating...

We combine general equilibrium theory and théorie générale of stochastic processes to derive structural results about equilibrium state prices.