Now showing items 1-14 of 14

    • 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 ...
    • Contract enforcement and incentive compatibility in large economies with differential information: the role of exact feasibility 

      Angeloni, Laura; Martins-da-Rocha, Victor Filipe
      2007-06-01
      We consider exchange economies with a continuum of agents and differential information about finitely many states of nature. It was proved in Einy, Moreno and Shitovitz (2001) that if we allow for free disposal in the ...
    • 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 ...
    • Equilibria in security markets with a continuum of agents 

      Monteiro, P. K.; Araújo, Aloísio Pessoa de; Martins-da-Rocha, Victor Filipe
      2003-11-01
      We prove the existence of a competitive equilibrium for exchange economies with a measure space of agents and for which the commodity space is ` p, 1 < p < +∞. A vector x = (xn) in ` p may be interpreted as a security which ...
    • Equilibrium theory with asymmetric information and infinitely many states 

      Hervés-Beloso, Carlos; Martins-da-Rocha, Victor Filipe; Monteiro, P. K.
      2008-02-28
      Radner (1968) proved the existence of a competitive equilibrium for differential information economies with finitely many states. We extend this result to economies with infinitely many states of nature.
    • 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 ...
    • Interim efficiency with MEU-preferences 

      Martins-da-Rocha, Victor Filipe
      2009-07-14
      Recently Kajii and (2008) proposed to characterize interim efficient allocations in an exchange economy under asymmetric information when uncertainty is represented by multiple posteriors. When agents have Bewley's incomplete ...
    • Large economies with differential information but without free disposal 

      Martins-da-Rocha, Victor Filipe; Angeloni, Laura
      2008-02-28
      We consider exchange economies with a continuum of agents and differential information about finitely many states of nature. It was proved in Einy, Moreno and Shitovitz (2001) that if we allow for free disposal in the ...
    • Non-emptiness of the alpha-core 

      Martins-da-Rocha, Victor Filipe; Yannelis, Nicholas C.
      2011-05-06
      We prove non-emptiness of the alpha-core for balanced games with non-ordered preferences, extending and generalizing in several aspects the results of Scarf (1971), Border (1984), Florenzano (1989), Yannelis (1991) and ...
    • On equilibrium prices in continuous time 

      Martins-da-Rocha, Victor Filipe; Riedel, Frank
      2008-02-28
      We combine general equilibrium theory and théorie générale of stochastic processes to derive structural results about equilibrium state prices.
    • 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 ...
    • Unbounded exchange economies with satiation: how far can we go? 

      Martins-da-Rocha, Victor Filipe; Monteiro, P. K.
      2008-02-01
      We unify and generalize the existence results in Werner (1987), Dana, Le Van and Magnien (1999), Allouch, Le Van and Page (2006) and Allouch and Le Van (2008). We also show that, in terms of weakening the set of assumptions, ...