Asset Pricing in Models with incomplete markets and default

We consider an infinite horizon exchange economy with incomplete markets and default. As in Geanakoplos and Zame (1998) financial securities are traded if the promises associated with them are backed by collateral. The only collateral available in our economy are shares of Lucas trees. We prove that equilibria always exist and develeop an algorithm to approximate them numerically

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Year of publication:	2001-04-01
Authors:	Schmedders, Karl ; Kubler, Felix
Institutions:	Society for Computational Economics - SCE
Subject:	incomplete markets \| collateral \| asset pricing

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Series:	Computing in Economics and Finance 2001.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Computing in Economics and Finance 2001 Number 58
Classification:	C63 - Computational Techniques ; D52 - Incomplete Markets ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005706744