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Asset Pricing in Models with incomplete markets and default

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  • Karl Schmedders, Felix Kubler

Abstract

We consider an infinite horizon exchange economy with incomplete markets and default. As in Geanakoplos and Zame (1998) financial securities are traded if the promises associated with them are backed by collateral. The only collateral available in our economy are shares of Lucas trees. We prove that equilibria always exist and develeop an algorithm to approximate them numerically

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Bibliographic Info

Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2001 with number 58.

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Date of creation: 01 Apr 2001
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Handle: RePEc:sce:scecf1:58

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Web page: http://www.econometricsociety.org/conference/SCE2001/SCE2001.html
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Keywords: incomplete markets; collateral; asset pricing;

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Cited by:
  1. Manuel S. Santos & Adrian Peralta-Alva, 2012. "Ergodic Invariant Distributions for Non-optimal Dynamic Economics," Working Papers 2012-5, University of Miami, Department of Economics.
  2. Winfried Koeniger & Thomas Hintermaier, 2007. "Incomplete Markets and the Evolution of US Consumer Debt," 2007 Meeting Papers 256, Society for Economic Dynamics.
  3. Gaël Giraud, 2010. "Financial crashes versus liquidity trap : the dilemma of monetary policy," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00657047, HAL.
  4. Brumm, Johannes & Grill, Michael & Kubler, Felix & Schmedders, Karl, 2013. "Collateral requirements and asset prices," Discussion Papers 44/2013, Deutsche Bundesbank, Research Centre.
  5. Miguel Angel Iraola & Juan Pablo Torres-Martinez, 2012. "Liquidity Contractions and Prepayment Risk on Collateralized Asset Markets," Working Papers 1204, Centro de Investigacion Economica, ITAM.
  6. Gaël Giraud, 2010. "Financial Crashes versus liquidity trap : the dilemma of monetary policy," Documents de travail du Centre d'Economie de la Sorbonne 10014, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  7. Adrian Peralta-Alva & Manuel S. Santos, 2012. "Analysis of numerical errors," Working Papers 2012-062, Federal Reserve Bank of St. Louis.

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