My dissertation focuses on imperfections that exist in the real economy and how financial instruments can alleviate inefficiencies caused by these imperfections. I also focus on the pricing of these instruments. The first topic I discuss is the pricing of defaultable securities in a general...

The consumption data exhibits conditional heteroskedasticity similar to those exhibited by stock market returns. I model the comovement of the time series of aggregate consumption and stock market return data using a Multivariate GARCH-in-mean framework. Using the time series of the variances...

We study default risk in an incomplete markets general equilibrium setting. We show some interesting properties of default and recovery rates in equilibrium, and derive CAPM-type equilibrium bounds on credit spreads. We are able to price aggregate components of credit risk, summarized in our...

I demonstrate in this article that there are benefits to introducing certain financial markets in an economy with strategic agents. I consider a two-sector 'oligopoly' model and show that in the symmetric Nash equilibrium, there are inefficiencies when compared to the Walrasian equilibrium, and...