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General equilibrium with endogenous uncertainty and default Author info | Abstract | Publisher info | Download info | Related research | Statistics Graciela Chichilnisky () (Columbia University - Program on Information and Resources)
Ho-Mou Wu () (National Taiwan University - College of Management)
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In this paper we study the introduction of new assets which are oftenly observed to be defined in expected values rather than state by state, called the Arrow-Lind-Malinvaud (ALM) assets. We demonstrate that individual default emerges naturally in an economy where such ALM assets are introduced without completing all contingency markets. We further provide conditions under which individual default is propagated endogenously into a collective risk of widespread default in general equilibrium.
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Paper provided by Columbia University, Department of Economics in its series Discussion Papers with number
0506-29.
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Length: 37 pages
Date of creation: 2006Date of revision:
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References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: Chichilnisky, Graciela, 1996.
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MPRA Paper
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[Downloadable!]
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[Downloadable!] (restricted)
Kurz, Mordecai & Wu, Ho-Mou, 1996.
"Endogenous Uncertainty in a General Equilibrium Model with Price Contingent Contracts ,"
Economic Theory ,
Springer, vol. 8(3), pages 461-88, October.
Chichilnisky, G. & Heal, G. & Dutta, J., 1992.
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Discussion Papers
1992_57, Columbia University, Department of Economics.
Other versions: Ho-Mou Wu & Wen-Chung Guo, 2003.
"Speculative trading with rational beliefs and endogenous uncertainty ,"
Economic Theory ,
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[Downloadable!] (restricted)
Kurz, Mordecai, 1994.
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Pradeep Dubey & John Geanakoplos & Martin Shubik, 2005.
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Other versions:
Pradeep Dubey & John Geanakoplos & Martin Shubik, 2001.
"Default and Punishment in General Equilibrium ,"
Cowles Foundation Discussion Papers
1304, Cowles Foundation, Yale University.
[Downloadable!] P. Dubey & J. Geanakoplos & M . Shubik, 2001.
"Default and Punishment in General Equilibrium ,"
Department of Economics Working Papers
01-07, Stony Brook University, Department of Economics.
[Downloadable!] Pradeep Dubey & John Geanakoplos & Martin Shubik, 2001.
"Default and Punishment in General Equilibrium ,"
Cowles Foundation Discussion Papers
1304R5, Cowles Foundation, Yale University, revised Mar 2004.
[Downloadable!] Chichilnisky, G. & Wu, H.M., 1992.
"Financial Innovation and Endogenous Uncertainty in Incomplete Asset Markets ,"
Papers
92-30, Columbia - Graduate School of Business.
Other versions: Chichilnisky, G. & Heal, G., 1993.
"Global Environmental Risks ,"
Discussion Papers
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Other versions: Malinvaud, E., 1972.
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[Downloadable!] (restricted)
Diamond, Douglas W & Dybvig, Philip H, 1983.
"Bank Runs, Deposit Insurance, and Liquidity ,"
Journal of Political Economy ,
University of Chicago Press, vol. 91(3), pages 401-19, June.
[Downloadable!] (restricted)
Other versions: Chichilnisky, G., 1992.
"Existence and Optimality of a General Equilibrium with Endogenous Uncertainty ,"
Papers
93-11, Columbia - Graduate School of Business.
Ho-Mou Wu & Mordecai Kurz, 1996.
"Endogenous uncertainty in a general equilibrium model with price contingent contracts (*) ,"
Economic Theory ,
Springer, vol. 8(3), pages 461-488.
Ho-Mou Wu & Wen-Chung Guo, 2004.
"Asset price volatility and trading volume with rational beliefs ,"
Economic Theory ,
Springer, vol. 23(4), pages 795-829, May.
[Downloadable!] (restricted)
Wu, Ho-Mou, 1988.
"Unemployment equilibrium in a random economy ,"
Journal of Mathematical Economics ,
Elsevier, vol. 17(4), pages 385-400, September.
[Downloadable!] (restricted)
Svensson, Lars E O, 1981.
"Efficiency and Speculation in a Model with Price-Contingent Contracts ,"
Econometrica ,
Econometric Society, vol. 49(1), pages 131-51, January.
[Downloadable!] (restricted)
Debreu, Gerard, 1993.
"Existence of competitive equilibrium ,"
Handbook of Mathematical Economics ,
in: K. J. Arrow & M.D. Intriligator (ed.), Handbook of Mathematical Economics, edition 4, volume 2, chapter 15, pages 697-743
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[Downloadable!] (restricted)
Cass, David & Chichilnisky, Graciela & Wu, Ho-Mou, 1996.
"Individual Risk and Mutual Insurance ,"
Econometrica ,
Econometric Society, vol. 64(2), pages 333-41, March.
[Downloadable!] (restricted)
Hahn, F., 1992.
"A Remark on Incomplete Market Equilibrium ,"
Papers
179, Cambridge - Risk, Information & Quantity Signals.
Full
references Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
Chollete, Lorán, 2009.
"The Propagation of Financial Extremes ,"
Discussion Papers
2008/25, Department of Finance and Management Science, Norwegian School of Economics and Business Administration.
[Downloadable!]
Chollete, Lorán, 2008.
"The Propagation of Financial Extremes: An Application to Subprime Market Spillovers ,"
Discussion Papers
2008/2, Department of Finance and Management Science, Norwegian School of Economics and Business Administration.
[Downloadable!]
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