Constrained Asset Markets

Won, Dong Chul; Hahn, Guangsug

doi:10.2139/ssrn.1021631

Cited by 6 publications

(1 citation statement)

References 30 publications

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“…Martins Da-Rocha and Triki (2005) present an original proof of existence. Won and Hahn (2007) discuss the presence of redundant assets. Hens et al (2006) consider a GEI model with one good per spot and give conditions for the existence of arbitrage possibilities when households cannot exchange at all some assets.…”

Section: Introductionmentioning

confidence: 99%

Endogenous restricted participation in general financial equilibrium

Carosi

Gori

Villanacci

2009

Journal of Mathematical Economics

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Section: Introductionmentioning

confidence: 99%

Endogenous restricted participation in general financial equilibrium

Carosi

Gori

Villanacci

2009

Journal of Mathematical Economics

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Credit segmentation in general equilibrium

Cea-Echenique

Torres-Martínez

2016

Journal of Mathematical Economics

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International audienceWe build a general equilibrium model with endogenous borrowing constraints compatible with credit segmentation. There are personalized trading restrictions connecting prices with both portfolio constraints and consumption possibilities, a setting which has not thoroughly been addressed by the literature. Our approach is general enough to be compatible with incomplete market economies where there exist wealth-dependent and/or investment-dependent credit access, borrowing constraints precluding bankruptcy, or assets backed by physical collateral. To prove equilibrium existence, we assume that both investment on segmented assets is not required to obtain access to credit and transfers implementable in segmented markets can be super-replicated by investing in non-segmented markets. For instance, this super-replication property is satisfied if either (i) all individuals have access to borrow at a risk-free rate; or (ii) financial contracts make real promises in terms of non-perishable commodities; or (iii) promises are backed by physical collateral

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Credit market segmentation, essentiality of commodities, and supermodularity

Faias

Torres-Martínez

2017

Journal of Mathematical Economics

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We consider incomplete market economies where agents are subject to price-dependent trading constraints compatible with credit market segmentation. Equilibrium existence is guaranteed when either commodities are essential, i.e, indifference curves through individuals' endowments do not intersect the boundary of the consumption set, or utility functions are concave and supermodular. Since we do not require the smoothness of mappings representing preferences, financial promises, or trading constraints, our approach is compatible with the existence of ambiguity-adverse agents, non-recourse collateralized loans, or income-dependent thresholds determining the access to credit.

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Constrained Asset Markets

Cited by 6 publications

References 30 publications

Endogenous restricted participation in general financial equilibrium

Endogenous restricted participation in general financial equilibrium

Credit segmentation in general equilibrium

Credit market segmentation, essentiality of commodities, and supermodularity

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