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Wealth transfers and the role of collateral when lifetimes are uncertain

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  • Abdelkrim Seghir

    ()

  • Juan Torres-Martínez

    ()

Abstract

We develop a general equilibrium model of wealth transfers in the presence of uncertain lifetimes and default. Without introducing exogenous debt constraints, agents are allowed to make collateral-backed promises at any state of their life span.

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File URL: http://hdl.handle.net/10.1007/s00199-007-0282-z
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Bibliographic Info

Article provided by Springer in its journal Economic Theory.

Volume (Year): 36 (2008)
Issue (Month): 3 (September)
Pages: 471-502

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Handle: RePEc:spr:joecth:v:36:y:2008:i:3:p:471-502

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Web page: http://link.springer.de/link/service/journals/00199/index.htm

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Related research

Keywords: Uncertain lifetimes; Collateralized assets; Donations; Wills; D52; D91;

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References

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  1. Kotlikoff, Laurence J & Summers, Lawrence H, 1981. "The Role of Intergenerational Transfers in Aggregate Capital Accumulation," Journal of Political Economy, University of Chicago Press, vol. 89(4), pages 706-32, August.
  2. 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.
  3. Hippolyte D'Albis, 2007. "Demographic structure and capital accumulation," Post-Print hal-00630200, HAL.
  4. Abdelkrim SEGHIR, 2006. "Overlapping Generations Model with Incomplete Markets: The Numeraire Case II," Annales d'Economie et de Statistique, ENSAE, issue 81, pages 113-139.
  5. Magill, M. & Quinzii, M., 1992. "Infinite Horizon Incomplete Markets," Papers 413a, California Davis - Institute of Governmental Affairs.
  6. 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.
  7. Luisa Fuster, 1999. "Effects of uncertain lifetime and annuity insurance on capital accumulation and growth," Economic Theory, Springer, vol. 13(2), pages 429-445.
  8. Felix Kubler & Karl Schmedders, 2001. "Stationary Equilibria in Asset-Pricing Models with Incomplete Markets and Collateral," Discussion Papers 1319, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  9. Hernandez D., Alejandro & Santos, Manuel S., 1996. "Competitive Equilibria for Infinite-Horizon Economies with Incomplete Markets," Journal of Economic Theory, Elsevier, vol. 71(1), pages 102-130, October.
  10. Leung, Siu Fai, 1994. "Uncertain Lifetime, the Theory of the Consumer, and the Life Cycle Hypothesis," Econometrica, Econometric Society, vol. 62(5), pages 1233-39, September.
  11. Luisa Fuster, 2000. "Capital Accumulation in an Economy with Dynasties and Uncertain Lifetimes," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 3(4), pages 650-674, October.
  12. Páscoa, Mário Rui & Seghir, Abdelkrim, 2009. "Harsh default penalties lead to Ponzi schemes," Games and Economic Behavior, Elsevier, vol. 65(1), pages 270-286, January.
  13. Páscoa, Mario Rui & Araújo, Aloísio Pessoa de & Torres-Martínez, Juan Pablo, 2001. "Collateral Avoids Ponzi Schemes in Incomplete Markets," Economics Working Papers (Ensaios Economicos da EPGE) 419, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  14. Jonathan Skinner & Stephen P. Zeldes, 2002. "The Importance of Bequests and Life-Cycle Saving in Capital Accumulation: A New Answer," American Economic Review, American Economic Association, vol. 92(2), pages 274-278, May.
  15. CARDIA, Emanuela & MICHEL, Philippe, 2003. "Altruism, Intergenerational Transfers of Time and Bequests," Cahiers de recherche 2003-04, Universite de Montreal, Departement de sciences economiques.
  16. 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.
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Citations

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Cited by:
  1. Rubén Poblete-Cazenave & Juan Torres-Martínez, 2013. "Equilibrium with limited-recourse collateralized loans," Economic Theory, Springer, vol. 53(1), pages 181-211, May.
  2. Ferreira, Thiago Revil T. & Torres-Martínez, Juan Pablo, 2010. "The impossibility of effective enforcement mechanisms in collateralized credit markets," Journal of Mathematical Economics, Elsevier, vol. 46(3), pages 332-342, May.
  3. Richard Barnett & Joydeep Bhattacharya & Helle Bunzel, 2013. "Deviant generations, Ricardian equivalence, and growth cycles," Economic Theory, Springer, vol. 52(1), pages 367-396, January.
  4. Michael Magill & Martine Quinzii, 2014. "Prices and Investment with Collateral and Default," Working Papers 143, University of California, Davis, Department of Economics.
  5. Seghir, Abdelkrim & Salem, Sherif, 2010. "In nitely-lived agents via two-sided altruism," MPRA Paper 31379, University Library of Munich, Germany.

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