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State prices, liquidity, and default

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  • Raphaël Espinoza

    ()

  • Charles. Goodhart
  • Dimitrios Tsomocos

    ()

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Bibliographic Info

Article provided by Springer in its journal Economic Theory.

Volume (Year): 39 (2009)
Issue (Month): 2 (May)
Pages: 177-194

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Handle: RePEc:spr:joecth:v:39:y:2009:i:2:p:177-194

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Related research

Keywords: Cash-in-advance constraints; Default; Asset prices; Risk-neutral probabilities; E43; G12;

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References

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  1. Charles A.E. Goodhart & Pojanart Sunirand & Dimitrios P. Tsomocos, 2003. "A Model to Analyse Financial Fragility," OFRC Working Papers Series 2003fe13, Oxford Financial Research Centre.
  2. Shiller, Robert J. & Huston McCulloch, J., 1990. "The term structure of interest rates," Handbook of Monetary Economics, Elsevier, in: B. M. Friedman & F. H. Hahn (ed.), Handbook of Monetary Economics, edition 1, volume 1, chapter 13, pages 627-722 Elsevier.
  3. David K. Backus & Allan W. Gregory & Stanley E. Zin, 1986. "Risk Premiums in the Term Structure : Evidence from Artificial Economies," Working Papers, Queen's University, Department of Economics 665, Queen's University, Department of Economics.
  4. Gaetano Bloise, 2006. "A note on the existence of a monetary equilibrium over an infinite horizon," Economic Theory, Springer, Springer, vol. 27(1), pages 59-77, 01.
  5. Bansal, Ravi & Coleman, Wilbur John, II, 1996. "A Monetary Explanation of the Equity Premium, Term Premium, and Risk-Free Rate Puzzles," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 104(6), pages 1135-71, December.
  6. Dimitrios P. Tsomocos, 2003. "Equilibrium Analysis, Banking and Financial Instability," OFRC Working Papers Series 2003fe08, Oxford Financial Research Centre.
  7. John Geanakoplos & Dimitri P. Tsomocos, 2001. "International Finance in General Equilibrium," Cowles Foundation Discussion Papers 1313, Cowles Foundation for Research in Economics, Yale University.
  8. M. Shubik & D. Tsomocos, 1992. "A strategic market game with a mutual bank with fractional reserves and redemption in gold," Journal of Economics, Springer, vol. 55(2), pages 123-150, June.
  9. Robert E. Lucas Jr. & Nancy L. Stokey, 1984. "Money and Interest in Cash-In-Advance Economy," Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science 628, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  10. Pradeep Dubey & John Geanakoplos, 2006. "Determinacy with nominal assets and outside money," Economic Theory, Springer, Springer, vol. 27(1), pages 79-106, 01.
  11. Breeden, Douglas T & Litzenberger, Robert H, 1978. "Prices of State-contingent Claims Implicit in Option Prices," The Journal of Business, University of Chicago Press, vol. 51(4), pages 621-51, October.
  12. Dimitrios P. Tsomocos, 2006. "Generic Determinacy and Money Non-Neutrality of International Monetary Equilibria," OFRC Working Papers Series 2006fe07, Oxford Financial Research Centre.
  13. Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, Econometric Society, vol. 46(6), pages 1429-45, November.
  14. Gaetano Bloise & J. H. Dreze & H. M. Polemarchakis, 2003. "Monetary Equilibria over an Infinite Horizon," Discussion Papers 03-19, University of Copenhagen. Department of Economics.
  15. Mehra, Rajnish & Prescott, Edward C., 1985. "The equity premium: A puzzle," Journal of Monetary Economics, Elsevier, Elsevier, vol. 15(2), pages 145-161, March.
  16. Breeden, Douglas T., 1979. "An intertemporal asset pricing model with stochastic consumption and investment opportunities," Journal of Financial Economics, Elsevier, Elsevier, vol. 7(3), pages 265-296, September.
  17. Lucas, Robert Jr., 1990. "Liquidity and interest rates," Journal of Economic Theory, Elsevier, vol. 50(2), pages 237-264, April.
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Citations

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Cited by:
  1. Jiaqian Chen & Patrick A. Imam, 2011. "Causes of Asset Shortages in Emerging Markets," IMF Working Papers 11/114, International Monetary Fund.
  2. Gaël Giraud & Dimitrios Tsomocos, 2010. "Nominal uniqueness and money non-neutrality in the limit-price exchange process," Economic Theory, Springer, Springer, vol. 45(1), pages 303-348, October.
  3. Raphael A. Espinoza & Dimitrios P. Tsomocos, 2008. "Liquidity and Asset Prices," Economics Series Working Papers 2008fe28, University of Oxford, Department of Economics.

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