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Trading constraints penalizing default: A recursive approach

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  • Braido, Luis H.B.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Mathematical Economics.

Volume (Year): 44 (2008)
Issue (Month): 2 (January)
Pages: 157-166

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Handle: RePEc:eee:mateco:v:44:y:2008:i:2:p:157-166

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Web page: http://www.elsevier.com/locate/jmateco

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References

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  1. Pradeep Dubey & John Geanakoplos & Martin Shubik, 2001. "Default and Punishment in General Equilibrium," Cowles Foundation Discussion Papers 1304R5, Cowles Foundation for Research in Economics, Yale University, revised Mar 2004.
  2. Duffie, Darrell, et al, 1994. "Stationary Markov Equilibria," Econometrica, Econometric Society, vol. 62(4), pages 745-81, July.
  3. Kehoe, Timothy J & Levine, David K, 1993. "Debt-Constrained Asset Markets," Review of Economic Studies, Wiley Blackwell, vol. 60(4), pages 865-88, October.
  4. William R. Zame, 1990. "Efficiency and the Role of Default When Security Markets are Incomplete," UCLA Economics Working Papers 585, UCLA Department of Economics.
  5. Dutta, J. & Kapur, S., 2000. "Default and Efficient Debt Markets," Discussion Papers 00-14, Department of Economics, University of Birmingham.
  6. Tarun Sabarwal, 2000. "Bankruptcy in general equilibrium," Finance and Economics Discussion Series 2000-48, Board of Governors of the Federal Reserve System (U.S.).
  7. Fernando Alvarez & Urban J. Jermann, 2000. "Efficiency, Equilibrium, and Asset Pricing with Risk of Default," Econometrica, Econometric Society, vol. 68(4), pages 775-798, July.
  8. Zhang, Harold H, 1997. " Endogenous Borrowing Constraints with Incomplete Markets," Journal of Finance, American Finance Association, vol. 52(5), pages 2187-2209, December.
  9. Aloisio Araujo & Paulo K. Monteiro & M�rio Rui P�ascoa, 1996. "Infinite Horizon Incomplete Markets With A Continuum Of States," Mathematical Finance, Wiley Blackwell, vol. 6(2), pages 119-132.
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Cited by:
  1. Braido, Luis H. B., 2013. "Ergodic Markov equilibrium with incomplete markets and short sales," Theoretical Economics, Econometric Society, vol. 8(1), January.
  2. Emma Moreno Garcia & Juan Pablo Torres-Martinez, 2007. "Equilibrium with default-dependent credit constraints," Textos para discussão 540, Department of Economics PUC-Rio (Brazil).

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