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Incomplete markets, continuum of states and default

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Author Info

  • A. Araujo

    (Instituto de Matemática Pura e Aplicada and EPGE/FGV-RJ, Estrada Dona Castorina 110, 22460-320 Rio de Janeiro, RJ BRAZIL)

  • M. R. Páscoa

    (Faculdade de Economia, Universidade Nova de Lisboa, Travessa Estevão Pinto, 1070 Lisboa, PORTUGAL)

  • P. K. Monteiro

    (Instituto de Matemática Pura e Aplicada, Estrada Dona Castorina 110, 22460-320 Rio de Janeiro, RJ BRAZIL)

Abstract

We show that when bankruptcy, subject to penalties, is allowed, it is possible to prove the existence of equilibrium in a model with a continuum of states without imposing any assumptions on ex-post endowments.

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Bibliographic Info

Article provided by Springer in its journal Economic Theory.

Volume (Year): 11 (1997)
Issue (Month): 1 ()
Pages: 205-213

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Handle: RePEc:spr:joecth:v:11:y:1997:i:1:p:205-213

Note: Received: November 20, 1995; revised version: September 16, 1996
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Cited by:
  1. Abdelkrim Seghir, 2006. "An overlapping generations model with non-ordered preferences and numeraire-incomplete markets," Decisions in Economics and Finance, Springer, vol. 28(2), pages 95-112, 02.
  2. Martins-da-Rocha, Victor Filipe & Vailakis, Y., 2011. "Endogenous debt constraints in collateralized economies with default penalties," Economics Working Papers (Ensaios Economicos da EPGE) 719, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  3. Laura Angeloni & Bernard Cornet, 2005. "Existence Of Financial Equilibria In A Multiperiod Stochastic Economy," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200506, University of Kansas, Department of Economics, revised Feb 2005.
  4. Orrillo, Jaime, 2001. "Default and exogenous collateral in incomplete markets with a continuum of states," Journal of Mathematical Economics, Elsevier, vol. 35(1), pages 151-165, February.
  5. Páscoa, Mario Rui & Araújo, Aloísio Pessoa de & Barbachan, José Fajardo, 2001. "Endogenous Collateral: Arbitrage and Equilibrium without Bounded Short Sales," Economics Working Papers (Ensaios Economicos da EPGE) 418, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  6. Monteiro, Paulo Klinger & Pascoa, Mario R., 2000. "Discreteness of equilibria in incomplete markets with a continuum of states," Journal of Mathematical Economics, Elsevier, vol. 33(2), pages 229-237, March.
  7. Nuno Gouveia, 2004. "General equilibrium with asymmetric information and default penalties," Cahiers de la Maison des Sciences Economiques b05051, Université Panthéon-Sorbonne (Paris 1), revised Jan 2005.
  8. Martins-da-Rocha, Victor Filipe & Vailakis, Yiannis, 2008. "Collateral, default penalties and almost finite-time solvency," Economics Working Papers (Ensaios Economicos da EPGE) 670, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  9. Florenzano, Monique & Gourdel, Pascal & Pascoa, Mario Rui, 2001. "Overlapping generations models with incomplete markets," Journal of Mathematical Economics, Elsevier, vol. 36(3), pages 201-218, December.
  10. Aloisio Araujo & Bruno Funchal, 2008. "How much debtors’ punishment?," Fucape Working Papers 01, Fucape Business School.
  11. Aloisio Araujo, 2002. "As Leis de Falência: uma Abordagem Econômica," Working Papers Series 57, Central Bank of Brazil, Research Department.
  12. Weerachart Kilenthong, 2011. "Collateral premia and risk sharing under limited commitment," Economic Theory, Springer, vol. 46(3), pages 475-501, April.

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