Now showing items 1-20 of 24

    • Approximate recursive equilibrium with minimal state space 

      Raad, Rodrigo Jardim
      This paper shows existence of approximate recursive equilibrium with minimal state space in an environment of incomplete markets. We prove that the approximate recursive equilibrium implements an approximate sequential ...
    • Arrecadação governamental e sistema tributário como resultados políticos 

      Souza, Gustavo Moreira
      This paper introduces simultaneous choices of the political, taxation and expenditure government systems in a dynamics macroeconomic model of political economy with incomplete markets where the size of government must be ...
    • Bancruptcy in a model of unsecured claims 

      Araújo, Aloísio Pessoa de; Pascoa, Mario Rui
      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 ...
    • Collateral avoids Ponzi schemes in incomplete markets 

      Pascoa, Mario Rui; Araújo, Aloísio Pessoa de; Torres-Martínez, Juan Pablo
      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.
    • Collateral or utility penalties ? 

      Maldonado, Wilfredo Fernando Leiva
      In a two-period economy with incomplete markets and possibility of default we consider the two classical ways to enforce the honor of financial commitments: by using utility penalties and by using collateral requirements ...
    • Collateral, default penalties and almost finite-time solvency 

      Martins-da-Rocha, Victor Filipe; Vailakis, Yiannis
      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
      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 ...
    • Conventional and unconventional monetary policy with endogenous collateral constraints 

      Araújo, Aloísio Pessoa de; Schommer, Susan; Woodford, Michael
      We consider the effects of central bank purchases of a risky asset as an additional dimension of policy alongside 'conventional' interest rate policy in a general-equilibrium model of asset pricing with endogenous collateral ...
    • Endogenous borrowing constraints and default when markets are incomplete 

      Braido, Luís Henrique Bertolino
      Incomplete markets and non-default borrowing constraints increase the volatility of pricing kernels and are helpful when addressing assetpricing puzzles. However, ruling out default when markets are in complete is suboptimal. ...
    • Endogenous debt constraints in collateralized economies with default penalties 

      Martins-da-Rocha, Victor Filipe; Vailakis, Yiannis
      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
      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 ...
    • Equilibrium with default and endogenous collateral 

      Araújo, Aloísio Pessoa de; Orrillo, J.; Pascoa, Mario Rui
      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 ...
    • Ergodic Markov equilibrium with incomplete markets and short sales 

      Braido, Luís Henrique Bertolino
      This paper studies recursive exchange economies with short sales. Agents maximize discounted expected utility. The asset structure is general and includes real securities, infinite-lived stocks, options, and other derivatives. ...
    • Essays on asset pricing and option valuation 

      Freire, Gustavo Bulhões Carvalho da Paz
      Esta tese é composta por quatro ensaios sobre precificação de ativos e opções. O primeiro ensaio estuda a precificação de opções de índice no contexto de mercados incompletos. Um novo método é fornecido para construir ...
    • Existence of an equilibrium for infinite horizon economies with and without complete information 

      Raad, Rodrigo Jardim
      This work proves the existence of an equilibrium for an infinite horizon economy where trade takes place sequentially over time. There exist two types of agents: the first correctly anticipates all future contingent ...
    • Financial markets with endogenous transaction costs 

      Martins-da-Rocha, Victor Filipe; Vailakis, Yiannis
      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 ...
    • Fiscal multipliers in an incomplete markets economy 

      Abreu, Rodrigo Soares de
      This paper studies the behavior of fiscal multipliers in two different economic environments: complete markets and incomplete markets. Based on steady state analysis, output multipliers are found within a range between ...
    • General equilibrium with endogenous securities and moral hazard 

      Braido, Luís Henrique Bertolino
      This paper studies a class of general equilibrium economies in which the individuals' endowments depend on privately observed effort choices and the financial markets are endogenous. The environment is modeled as a two-stage ...
    • Identifying volatility risk premia from fixed income Asian options 

      Almeida, Caio Ibsen Rodrigues de; Vicente, Jose
      Fixed income options are frequently adopted by companies to hedge interest rate risk. Their payoff dependence on the cumulative short-term rate makes them particularly informative about interest rate volatility risk. Based ...
    • Infinite horizon incomplete markets with a continuum of states 

      Araújo, Aloísio Pessoa de; Monteiro, P. K.; Pascoa, Mario Rui
      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 ...