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General equilibrium with endogenous uncertainty and default

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  • Chichilnisky, Graciela
  • Wu, Ho-Mou

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  • Chichilnisky, Graciela & Wu, Ho-Mou, 2006. "General equilibrium with endogenous uncertainty and default," Journal of Mathematical Economics, Elsevier, vol. 42(4-5), pages 499-524, August.
  • Handle: RePEc:eee:mateco:v:42:y:2006:i:4-5:p:499-524
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    References listed on IDEAS

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    1. Malinvaud, E, 1973. "Markets for an Exchange Economy with Individual Risks," Econometrica, Econometric Society, vol. 41(3), pages 383-410, May.
    2. Ho-Mou Wu & Wen-Chung Guo, 2003. "Speculative trading with rational beliefs and endogenous uncertainty," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 21(2), pages 263-292, March.
    3. Kurz, Mordecai, 1994. "On the Structure and Diversity of Rational Beliefs," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 4(6), pages 877-900, October.
    4. Pradeep Dubey & John Geanakoplos & Martin Shubik, 2005. "Default and Punishment in General Equilibrium," Econometrica, Econometric Society, vol. 73(1), pages 1-37, January.
    5. Zame, William R, 1993. "Efficiency and the Role of Default When Security Markets Are Incomplete," American Economic Review, American Economic Association, vol. 83(5), pages 1142-1164, December.
    6. Malinvaud, E., 1972. "The allocation of individual risks in large markets," Journal of Economic Theory, Elsevier, vol. 4(2), pages 312-328, April.
    7. Douglas W. Diamond & Philip H. Dybvig, 2000. "Bank runs, deposit insurance, and liquidity," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Win, pages 14-23.
    8. Ho-Mou Wu & Wen-Chung Guo, 2004. "Asset price volatility and trading volume with rational beliefs," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 23(4), pages 795-829, May.
    9. Wu, Ho-Mou, 1988. "Unemployment equilibrium in a random economy," Journal of Mathematical Economics, Elsevier, vol. 17(4), pages 385-400, September.
    10. Cass, David & Chichilnisky, Graciela & Wu, Ho-Mou, 1996. "Individual Risk and Mutual Insurance," Econometrica, Econometric Society, vol. 64(2), pages 333-341, March.
    11. Hahn, F., 1992. "A Remark on Incomplete Market Equilibrium," Papers 179, Cambridge - Risk, Information & Quantity Signals.
    12. Chichilnisky, Graciela, 1996. "Markets with endogenous uncertainty: theory and policy," MPRA Paper 8612, University Library of Munich, Germany.
    13. Hildenbrand, Werner, 1971. "Random preferences and equilibrium analysis," Journal of Economic Theory, Elsevier, vol. 3(4), pages 414-429, December.
    14. Arrow, Kenneth J & Lind, Robert C, 1970. "Uncertainty and the Evaluation of Public Investment Decisions," American Economic Review, American Economic Association, vol. 60(3), pages 364-378, June.
    15. Chichilnisky, G. & Wu, H.M., 1992. "Financial Innovation and Endogenous Uncertainty in Incomplete Asset Markets," Papers 92-30, Columbia - Graduate School of Business.
    16. Graciela Chichilnisky & Geoffrey Heal, 1993. "Global Environmental Risks," Journal of Economic Perspectives, American Economic Association, vol. 7(4), pages 65-86, Fall.
    17. Svensson, Lars E O, 1981. "Efficiency and Speculation in a Model with Price-Contingent Contracts," Econometrica, Econometric Society, vol. 49(1), pages 131-151, January.
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    Cited by:

    1. Calluzzo, Paul & Dong, Gang Nathan, 2015. "Has the financial system become safer after the crisis? The changing nature of financial institution risk," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 233-248.
    2. Chollete, Lorán, 2009. "The Propagation of Financial Extremes," Discussion Papers 2008/25, Norwegian School of Economics, Department of Business and Management Science.
    3. Hans Gersbach, 2013. "Preventing Banking Crises--with Private Insurance?," CESifo Economic Studies, CESifo, vol. 59(4), pages 609-627, December.
    4. Chichilnisky, Graciela, 2010. "The foundations of statistics with black swans," Mathematical Social Sciences, Elsevier, vol. 59(2), pages 184-192, March.
    5. Chichilnisky, Graciela, 2009. "The topology of fear," Journal of Mathematical Economics, Elsevier, vol. 45(12), pages 807-816, December.
    6. Chollete, Lorán, 2008. "The Propagation of Financial Extremes: An Application to Subprime Market Spillovers," Discussion Papers 2008/2, Norwegian School of Economics, Department of Business and Management Science.

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