Now showing items 1-14 of 14

    • Borrowing in excess of natural ability to repay 

      Martins-da-Rocha, Victor Filipe; Vailakis, Yiannis
      2017-01
      The paper aims at improving our understanding of self-enforcing debt in competitive dynamic economies with lack of commitment when default induces a permanent loss of access to international credit markets. We show, by ...
    • Bounded rationality, default and borrowing constraints 

      Martins-da-Rocha, Victor Filipe; Daher, Wassim; Pascoa, Mario Rui; Vailakis, Yiannis
      2006-09-01
    • Collateral, default penalties and almost finite-time solvency 

      Martins-da-Rocha, Victor Filipe; Vailakis, Yiannis
      2008-03-04
      We argue that it is possible to adapt the approach of imposing restrictions on available plans through finitely effective debt constraints, introduced by Levine and Zame (1996), to encompass models with default and collateral. ...
    • Competitive equilibria in infinite-horizon collateralized economies with default penalties 

      Martins-da-Rocha, Victor Filipe; Vailakis, Yiannis
      2010-03-16
      Araújo, Páscoa and Torres-Martinez (2002) have shown that, without imposing either debt constraints or transversality conditions, Ponzi schemes are ruled out in infinite horizon economies with default when collateral is ...
    • Constrained efficiency without commitment 

      Martins-da-Rocha, Victor Filipe; Vailakis, Yiannis
      2015-12
      We consider an infinite horizon economy where agents share income risks by trading a complete set of contingent claims but cannot commit to their promises. Allocations are restricted to be self-enforcing relative to autarchic ...
    • Endogenous debt constraints in collateralized economies with default penalties 

      Martins-da-Rocha, Victor Filipe; Vailakis, Yiannis
      2011-06-30
      In infinite horizon financial markets economies, competitive equilibria fail to exist if one does not impose restrictions on agents' trades that rule out Ponzi schemes. When there is limited commitment and collateral ...
    • Endogenous Transaction Costs 

      Martins-da-Rocha, Victor Filipe; Vailakis, Yiannis
      2008-10-28
      The paper proposes an alternative general equilibrium formulation of financial asset economies with transactions costs. Transaction costs emerge endogenously at equilibrium and reflect agents decisions of intermediating ...
    • Existence and uniqueness of a fixed-point for local contractions 

      Vailakis, Yiannis; Martins-da-Rocha, Victor Filipe
      2008-05-15
      This paper proves the existence and uniqueness of a fixed-point for local contractions without assuming the family of contraction coefficients to be uniformly bounded away from 1. More importantly it shows how this fixed-point ...
    • Financial markets with endogenous transaction costs 

      Martins-da-Rocha, Victor Filipe; Vailakis, Yiannis
      2010-10
      The paper proposes an alternative general equilibrium formulation of financial asset economies with transaction costs. Transaction costs emerge endogenously at equilibrium and reflect agents' decisions of intermediating ...
    • Fixed point for local contractions: applications to recursive utility 

      Martins-da-Rocha, Victor Filipe; Vailakis, Yiannis
      2013-03
      The paper shows how fixed-point results for local contractions apply to the study of the existence and uniqueness of recursive utility functions defined on subsets of + and being continuous for a specific topology. Two ...
    • Harsh default penalties lead to Ponzi schemes: a counterexample 

      Martins-da-Rocha, Victor Filipe; Vailakis, Yiannis
      2012-05
      Pascoa and Seghir (2009) presented two examples to show that in the presence of utility penalties for default, collateral requirements do not always eliminate the occurrence of Ponzi schemes and equilibria may fail to ...
    • On Ponzi schemes in infinite horizon collateralized economies with default penalties 

      Martins-da-Rocha, Victor Filipe; Vailakis, Yiannis
      2011-06-30
      Araujo, Páscoa and Torres-Martínez (2002) showed that, without imposing any debt constraint, Ponzi schemes are ruled out in infinite horizon economies with limited commitment when collateral is the only mechanism that ...
    • On the sovereign debt paradox 

      Martins-da-Rocha, Victor Filipe; Vailakis, Yiannis
      2017-12
      Bulow and Rogoff (Am Econ Rev 79(1):43-50, 1989) show that lending to small countries cannot be supported merely on the country's 'reputation for repayment' if exclusion from future credit markets is the only consequence ...
    • Self-enforcing debt limits and costly default in general equilibrium 

      Martins-da-Rocha, Victor Filipe; Phan, Toan; Vailakis, Yiannis
      2017-12-05
      We establish a novel determination of self-enforcing debt limits at the present value of default cost in a general competitive equilibrium. Agents can trade state-contingent debt but cannot commit to repay. If an agent ...