Now showing items 1-14 of 14

    • Bancruptcy in a model of unsecured claims 

      Araújo, Aloísio Pessoa de; Pascoa, Mario Rui
      2002-10
      We study a two periods model of incomplete markets with nominal assets unsecured by collateral, where agents can go bankrupt but there are no bankruptcy penalties entering directly in the utility function. We address two ...
    • Bounded rationality, default and borrowing constraints 

      Martins-da-Rocha, Victor Filipe; Daher, Wassim; Pascoa, Mario Rui; Vailakis, Yiannis
      2006-09-01
    • Bubbles, collateral and monetary equilibrium 

      Torres-Martínez, Juan Pablo; Araújo, Aloísio Pessoa de; Pascoa, Mario Rui
      2006-04-01
      Consider an economy where infinite-lived agents trade assets collateralized by durable goods. We obtain results that rule out bubbles when the additional endowments of durable goods are uniformly bounded away from zero, ...
    • Collateral avoids Ponzi schemes in incomplete markets 

      Pascoa, Mario Rui; Araújo, Aloísio Pessoa de; Torres-Martínez, Juan Pablo
      2001-05-01
      Without introducing neither debt constraints nor transversality conditions to avoid the possibility of Ponzi schemes, we show existence of equilibrium in an incomplete markets economy with a collateral structure.
    • Determinacy of equilibria in nonsmooth economies 

      Pascoa, Mario Rui; Werlang, Sérgio Ribeiro da Costa
      1999-11
      Concavifiable preferences are representable by a function which is twice differentiable almost everywhere, by theorem of Alexandroff [Alexandroff, A.D., 1939. Almost Everywhere Existence of Second Differentials of Convex ...
    • Endogenous collateral 

      Pascoa, Mario Rui; Araújo, Aloísio Pessoa de; Barbachan, José Santiago Fajardo
      2003-11-04
      We study an economy where there are two types of assets. Consumers’ promises are the primitive defaultable assets secured by collateral chosen by the consumers themselves. The purchase of these personalized assets by ...
    • Endogenous collateral: arbitrage and equilibrium without bounded short sales 

      Pascoa, Mario Rui; Araújo, Aloísio Pessoa de; Barbachan, José Santiago Fajardo
      2001-05-01
      We study the implications of the absence of arbitrage in an two period economy where default is allowed and assets are secured by collateral choosen by the borrowers. We show that non arbitrage sale prices of assets are ...
    • Equilibrium with default and endogenous collateral 

      Araújo, Aloísio Pessoa de; Orrillo, J.; Pascoa, Mario Rui
      2000-01
      We study a two-period general equilibrium model with incomplete asset markets and default. We make collateral endogenous by allowing each seller of assets to fix the level of collateral. Sellers are required to provide ...
    • General equilibrium, wariness and efficient bubbles 

      Araújo, Aloísio Pessoa de; Novinski, Rodrigo; Pascoa, Mario Rui
      2011-05
      Wary consumers overlook gains but not losses in remote sets of dates or states. As preferences are upper but not lower Mackey semi-continuous, Bewley's (1972) [4] result on existence of equilibrium whose prices are not ...
    • Incomplete markets, continuum of states and default 

      Araújo, Aloísio Pessoa de; Monteiro, P. K.; Pascoa, Mario Rui
      1998-01
      We show that when bankruptcy, subject to penalties, is allowed, it is possible to prove the existence of equilibrium in a model with a continuum of states without imposing any assumptions on ex-post endowments.
    • Infinite horizon incomplete markets with a continuum of states 

      Araújo, Aloísio Pessoa de; Monteiro, P. K.; Pascoa, Mario Rui
      1996
      In this paper we address existence of equilibria in an incomplete markets economy with countably many periods and a continuum of states at each node of the infinite tree. We consider two models: one where agents have to ...
    • Local concavifiability of preferences and determinacy of equilibrium 

      Pascoa, Mario Rui; Werlang, Sérgio Ribeiro da Costa
      1991-05
      In this paper we consider strictly convex monotone continuous complete preorderings on R+n that are locally representable by a concave utility function. By Alexandroff 's (1939) theorem, this function is twice dífferentiable ...
    • Long-lived collateralized assets and bubbles 

      Araújo, Aloísio Pessoa de; Pascoa, Mario Rui; Torres-Martinez, Juan Pablo
      2011-05
      When infinite-lived agents trade long-lived assets secured by durable goods, equilibrium exists without any additional debt constraints or uniform impatience conditions on agents' characteristics. Also, price bubbles are ...
    • On the differentiability of the consumer demand function 

      Monteiro, P. K.; Pascoa, Mario Rui; Werlang, Sérgio Ribeiro da Costa
      1993-05
      For strictly quasi concave differentiable utility functions, demand is shown to be differentiable almost everywhere if marginal utilities are pointwise Lipschitzian. For concave utility functions, demand is differentiable ...