Existence of financial equilibria with endogenous short selling restrictions and real assets

Gori, Michele; Pireddu, Marina; Villanacci, Antonio

doi:10.1007/s10203-013-0144-z

Cited by 5 publications

(5 citation statements)

References 12 publications

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“…Also, B(ii) and G guarantee that (R s,k (p)R s,j (p)) s∈S = 0, ∀p 0, ∀k ∈ K, ∀j ∈ J \K. 12 Thus, segmented contracts do not improve the opportunities of risk sharing at states of nature where unsegmented assets make promises, but reduce the incompleteness of financial markets by adding new states of nature to the support of the space of transfers. In particular, Assumption G holds when financial contracts are non-redundant Arrow securities.…”

Section: Assumption Gmentioning

confidence: 99%

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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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Section: Assumption Gmentioning

confidence: 99%

“…However, an equilibrium exists as a consequence of Theorem 2. 13 2 12 Given p 0, suppose that there is s ∈ S and (k, j) ∈ K × (J \ K) such that R s,k (p)R s,j (p) > 0. Then, there exists δ > 0 such that −δe j ∈ Φ i (p) for all agent i ∈ I.…”

Section: Theorem 2 (Equilibrium Existence)mentioning

confidence: 99%

Credit market segmentation, essentiality of commodities, and supermodularity

Faias

Torres-Martínez

2017

Journal of Mathematical Economics

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“…Several other contributions present either extension of the framework of the model or deeper analysis of properties of equilibria. In Gori et al (2014) and Seghir and Torres-Martinez (2011), authors prove existence in the case of financial constraints depending on some endogenous variables and in Balasko et al (1990), Gori et al (2013), andHoelle et al (2016), authors prove regularity of equilibria in different specifications of the restricted participation model.…”

Section: Introductionmentioning

confidence: 99%

Restricted Participation on Financial Markets: A General Equilibrium Approach Using Variational Inequality Methods

2020

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We deal with the analysis of a general equilibrium model with restricted participation in financial markets and with numeraire assets. We consider an exchange economy and assume that there are two periods of time and S possible states of nature in the second period. Markets may in principle be complete, but each household has her own specific restricted way to access to it. In particular, we assume that households are allowed to choose portfolios in a closed and convex set containing zero. Our main goal in this work is to provide a proof of existence of equilibria under relatively general assumptions, by assuming that the households may have non-complete or non-transitive preferences, and by using a variational inequality approach. More precisely, we introduce a sequence of generalized quasi-variational inequalities and we show that an associated sequence of solutions converges to an equilibrium.

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“…Indeed, apart from the seminal paper by Radner (1972), " universal" 3 existence proofs can be found in Geanakoplos and Zame (2014) in the case of collateral constraints, as well as in Seghir and Torres-Martinez (2011) and in Gori et al (2013)inthe case of financial constraints depending on some endogenous variables. The main limitation of those results is that the analytical methods used there seem unable to verify other equilibrium properties.…”

Section: Introductionmentioning

confidence: 99%

Incomplete financial markets with real assets and wealth-dependent credit limits

2015

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Existence of financial equilibria with endogenous short selling restrictions and real assets

Abstract: We consider a model with real assets and restricted participation described by household-specific price-dependent short selling constraints. We show existence of equilibria for all elements in an explicitly characterized large subset of the set of economies.

Cited by 5 publications

References 12 publications

Credit market segmentation, essentiality of commodities, and supermodularity

Credit market segmentation, essentiality of commodities, and supermodularity

Restricted Participation on Financial Markets: A General Equilibrium Approach Using Variational Inequality Methods

Incomplete financial markets with real assets and wealth-dependent credit limits

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