منابع مشابه
International monetary equilibrium with default
We present an integrated framework for the study of the international financial economy with trade, fiat money, monetary and fiscal policy, endogenous default and regulation. Money is introduced via a cash-in-advance requirement and real trade is endogenous. The standard international finance pricing results obtain. Market incompleteness and positive default in equilibrium allow for the study o...
متن کاملCollateral, default penalties and infinite horizon equilibrium
Páscoa and Seghir (2009) noticed that when collateralized promises become subject to utility penalties on default, Ponzi schemes may occur. However, equilibrium exists in some interesting cases. Under low penalties, equilibrium exists if the collateral does not yield utility (for example, when it is a productive asset or a security). Equilibrium exists also under more severe penalties and colla...
متن کاملGeneral Equilibrium with Endogenous Uncertainty and Default
In this paper we study the introduction of new assets which are oftenly observed to be de ned in expected values rather than state by state, called the Arrow-Lind-Malinvaud (ALM) assets. We demonstrate that individual default emerges naturally in an economy where such ALM assets are introduced without completing all contingency markets. We further provide conditions under which individual defau...
متن کاملDefault and Punishment in General Equilibrium
We extend the standard model of general equilibrium with incomplete markets to allow for default and punishment. The equilibrating variables include expected delivery rates, along with the usual prices of assets and commodities. By reinterpreting the variables, our model encompasses a broad range of adverse selection and signalling phenomena (including the Akerlof lemons model and the Rothschil...
متن کاملDefault and Systemic Risk in Equilibrium
We develop a finite horizon continuous time market model, where risk averse investors maximize utility from terminal wealth by dynamically investing in a risk-free money market account, a stock, and a defaultable bond, whose prices are determined via equilibrium. We analyze the endogenous interaction arising between the stock and the defaultable bond via the interplay between equilibrium behavi...
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ژورنال
عنوان ژورنال: Journal of Political Economy
سال: 2007
ISSN: 0022-3808,1537-534X
DOI: 10.1086/519749