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Collateral, default penalties and almost finite-time solvency

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  • Martins-da-Rocha, Victor Filipe
  • Vailakis, Yiannis

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Paper provided by FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) in its series Economics Working Papers (Ensaios Economicos da EPGE) with number 670.

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Date of creation: 04 Mar 2008
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Handle: RePEc:fgv:epgewp:670

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  1. A. Araujo & M. R. Páscoa & P. K. Monteiro, 1997. "Incomplete markets, continuum of states and default," Economic Theory, Springer, Springer, vol. 11(1), pages 205-213.
  2. Timothy J Kehoe & David K Levine, 1993. "Debt Constrained Asset Markets," Levine's Working Paper Archive 1276, David K. Levine.
  3. Hernandez D., Alejandro & Santos, Manuel S., 1996. "Competitive Equilibria for Infinite-Horizon Economies with Incomplete Markets," Journal of Economic Theory, Elsevier, Elsevier, vol. 71(1), pages 102-130, October.
  4. Magill,Michael & Quinzii,Martine, 1992. "Infinite horizon,Incomplete markets," Discussion Paper Serie A 384, University of Bonn, Germany.
  5. Zame, William R, 1993. "Efficiency and the Role of Default When Security Markets Are Incomplete," American Economic Review, American Economic Association, American Economic Association, vol. 83(5), pages 1142-64, December.
  6. Pradeep Dubey & John Geanakoplos & Martin Shubik, 2001. "Default and Punishment in General Equilibrium," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1304, Cowles Foundation for Research in Economics, Yale University.
  7. 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).
  8. David K. Levine & William R. Zame, 1993. "Debt Constraints and Equilibrium in Infinite Horizon Economies with Incomplete Markets," UCLA Economics Working Papers, UCLA Department of Economics 703, UCLA Department of Economics.
  9. Aloisio Araujo & Alvaro Sandroni, 1999. "On the Convergence to Homogeneous Expectations when Markets Are Complete," Econometrica, Econometric Society, Econometric Society, vol. 67(3), pages 663-672, May.
  10. Fernando Alvarez & Urban J. Jermann, 2000. "Efficiency, Equilibrium, and Asset Pricing with Risk of Default," Econometrica, Econometric Society, Econometric Society, vol. 68(4), pages 775-798, July.
  11. Felix Kubler & Karl Schmedders, 2003. "Stationary Equilibria in Asset-Pricing Models with Incomplete Markets and Collateral," Econometrica, Econometric Society, Econometric Society, vol. 71(6), pages 1767-1793, November.
  12. David K. Levine & William Zame, 2001. "Does Market Incompleteness Matter," Levine's Working Paper Archive 78, David K. Levine.
  13. Pradeep Dubey & John Geanakoplos & Martin Shubik, 1988. "Default and Efficiency in a General Equilibrium Model with Incomplete Markets," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 879R, Cowles Foundation for Research in Economics, Yale University, revised Feb 1989.
  14. Dubey, Pradeep & Shubik, Martin, 1979. "Bankruptcy and optimality in a closed trading mass economy modelled as a non-cooperative game," Journal of Mathematical Economics, Elsevier, vol. 6(2), pages 115-134, July.
  15. Aloisio Araujo & Paulo K. Monteiro & M�rio Rui P�ascoa, 1996. "Infinite Horizon Incomplete Markets With A Continuum Of States," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 6(2), pages 119-132.
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Cited by:
  1. Rubén Poblete-Cazenave & Juan Pablo Torres-Martínez, 2010. "Equilibrium with limited-recourse collateralized loans," Working Papers, University of Chile, Department of Economics wp313, University of Chile, Department of Economics.

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