Long-lived collateralized assets and bubbles

DOI10.1016/J.JMATECO.2010.12.007zbMATH Open1242.91073OpenAlexW3122144213MaRDI QIDQ433137FDOQ433137

Juan Pablo Torres-Martínez, Mário R. Páscoa, Aloisio Araujo

Publication date: 13 July 2012

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL: http://www.econ.uchile.cl/uploads/publicacion/2417b908-0743-4f10-aa5a-4fe13811d8a3.pdf

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zbMATH Keywords

asset pricing bubblescollateralized assetsexistence of equilibrium

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Cites Work

• Competitive equilibria for infinite-horizon economies with incomplete markets
• Rational Asset Pricing Bubbles
• Endogenous collateral
• Incomplete markets over an infinite horizon: Long-lived securities and speculative bubbles
• Stationary Equilibria in Asset-Pricing Models with Incomplete Markets and Collateral
• Collateral Avoids Ponzi Schemes in Incomplete Markets
• A derivative-coderivative inclusion in second-order nonsmooth analysis
• Complete and incomplete markets with short-sale constraints
• A Difficulty with the Optimum Quantity of Money
• Fiat money and the value of binding portfolio constraints

Cited In (16)

• Arbitrage Theory with State-Price Deflators
• Financial segmentation and collateralized debt in infinite-horizon economies
• Intertemporal equilibrium with heterogeneous agents, endogenous dividends and collateral constraints
• Asset pledgeability and endogenously leveraged bubbles
• Fiat money and the value of binding portfolio constraints
• Rational asset pricing bubbles and debt constraints
• Asset bubbles and efficiency in a generalized two-sector model
• Equilibrium with limited-recourse collateralized loans
• An approach to the absence of price bubbles through state-price deflators
• Equilibrium in collateralized asset markets: credit contractions and negative equity loans
• Continuity of marketable payoffs with re-trading
• Collateral Booms and Information Depletion
• Portfolio constraints, differences in beliefs and bubbles
• Bubble economics
• Recourse loans and Ponzi schemes
• Real indeterminacy and dynamics of asset price bubbles in general equilibrium

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