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On existence in equilibrium models with endogenous default

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  • Quintin, Erwan

Abstract

The equilibrium concept defined by Dubey et al. (DGS, 1990, 2000, 2005) generates equilibria such that asset buyers could raise expected returns by paying more for the assets that they purchase. A simple example shows that, in fact, all equilibria may be return-dominated in that sense. Universal existence in the DGS model thus depends critically on the assumption that lenders are unable to exploit an obvious profit opportunity.

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Bibliographic Info

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

Volume (Year): 49 (2013)
Issue (Month): 5 ()
Pages: 418-421

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Handle: RePEc:eee:mateco:v:49:y:2013:i:5:p:418-421

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

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Keywords: Default; General equilibrium; Existence; Credit rationing;

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  1. Alberto Bisin & John Geanakoplos & Piero Gottardi & Enrico Minelli & Herakles Polemarchakis, 2010. "Markets and contracts," Economics Working Papers ECO2010/29, European University Institute.
    • Alberto Bisin & John Geanakoplos & Piero Gottardi & Enrico Minelli & Heracles Polemarchakis, 2009. "Markets and Contracts," Working Papers 0915, University of Brescia, Department of Economics.
  2. Stiglitz, Joseph E & Weiss, Andrew, 1981. "Credit Rationing in Markets with Imperfect Information," American Economic Review, American Economic Association, vol. 71(3), pages 393-410, June.
  3. Pradeep Dubey & John Geanakoplos & Martin Shubik, 2001. "Default and Punishment in General Equilibrium," Cowles Foundation Discussion Papers 1304, Cowles Foundation for Research in Economics, Yale University.
  4. Lutz G. Arnold & John G. Riley, 2009. "On the Possibility of Credit Rationing in the Stiglitz-Weiss Model," American Economic Review, American Economic Association, vol. 99(5), pages 2012-21, December.
  5. Erwan Quintin, 2012. "More punishment, less default?," Annals of Finance, Springer, vol. 8(4), pages 427-454, November.
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