Endogenous borrowing constraints and default when markets are incomplete
Autor(a) principal: | |
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Data de Publicação: | 2001 |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | http://hdl.handle.net/10438/12975 |
Resumo: | Incomplete markets and non-default borrowing constraints increase the volatility of pricing kernels and are helpful when addressing assetpricing puzzles. However, ruling out default when markets are in complete is suboptimal. This paper endogenizes borrowing constraints as an intertemporal incentive structure to default. It modeIs an infinitehorizon economy, where agents are allowed not to pay their liabilities and face borrowing constraints that depend on the individual history of default. Those constraints trade off the economy's risk-sharing possibilities and incentives to prevent default. The equilibrium presents stationary properties, such as an invariant distribution for the assets' solvency rate. |
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Braido, Luís Henrique BertolinoEscolas::EPGEFGV2014-12-23T12:29:55Z2014-12-23T12:29:55Z2001-09-17http://hdl.handle.net/10438/12975Incomplete markets and non-default borrowing constraints increase the volatility of pricing kernels and are helpful when addressing assetpricing puzzles. However, ruling out default when markets are in complete is suboptimal. This paper endogenizes borrowing constraints as an intertemporal incentive structure to default. It modeIs an infinitehorizon economy, where agents are allowed not to pay their liabilities and face borrowing constraints that depend on the individual history of default. Those constraints trade off the economy's risk-sharing possibilities and incentives to prevent default. The equilibrium presents stationary properties, such as an invariant distribution for the assets' solvency rate.engFundação Getulio Vargas. Escola de Pós-graduação em EconomiaSeminários de Almoço da EPGETodo cuidado foi dispensado para respeitar os direitos autorais deste trabalho. Entretanto, caso esta obra aqui depositada seja protegida por direitos autorais externos a esta instituição, contamos com a compreensão do autor e solicitamos que o mesmo faça contato através do Fale Conosco para que possamos tomar as providências cabíveisinfo:eu-repo/semantics/openAccessBorrowing constraintGeneral equilibriumIncomplete marketsRiskDefaultStationaryMarkovEconomiaEquilíbrio econômicoRisco (Economia)Endogenous borrowing constraints and default when markets are incompleteinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlereponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVORIGINAL000305147_b814e.pdf000305147_b814e.pdfapplication/pdf530243https://repositorio.fgv.br/bitstreams/b2619611-75a1-45c9-a3c2-f3f7cbcca38e/downloadc8519ad6d2afd970e76c732ae4a8b241MD51LICENSElicense.txtlicense.txttext/plain; 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dc.title.eng.fl_str_mv |
Endogenous borrowing constraints and default when markets are incomplete |
title |
Endogenous borrowing constraints and default when markets are incomplete |
spellingShingle |
Endogenous borrowing constraints and default when markets are incomplete Braido, Luís Henrique Bertolino Borrowing constraint General equilibrium Incomplete markets Risk Default Stationary Markov Economia Equilíbrio econômico Risco (Economia) |
title_short |
Endogenous borrowing constraints and default when markets are incomplete |
title_full |
Endogenous borrowing constraints and default when markets are incomplete |
title_fullStr |
Endogenous borrowing constraints and default when markets are incomplete |
title_full_unstemmed |
Endogenous borrowing constraints and default when markets are incomplete |
title_sort |
Endogenous borrowing constraints and default when markets are incomplete |
author |
Braido, Luís Henrique Bertolino |
author_facet |
Braido, Luís Henrique Bertolino |
author_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EPGE |
dc.contributor.affiliation.none.fl_str_mv |
FGV |
dc.contributor.author.fl_str_mv |
Braido, Luís Henrique Bertolino |
dc.subject.eng.fl_str_mv |
Borrowing constraint General equilibrium Incomplete markets Risk Default Stationary |
topic |
Borrowing constraint General equilibrium Incomplete markets Risk Default Stationary Markov Economia Equilíbrio econômico Risco (Economia) |
dc.subject.por.fl_str_mv |
Markov |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Equilíbrio econômico Risco (Economia) |
description |
Incomplete markets and non-default borrowing constraints increase the volatility of pricing kernels and are helpful when addressing assetpricing puzzles. However, ruling out default when markets are in complete is suboptimal. This paper endogenizes borrowing constraints as an intertemporal incentive structure to default. It modeIs an infinitehorizon economy, where agents are allowed not to pay their liabilities and face borrowing constraints that depend on the individual history of default. Those constraints trade off the economy's risk-sharing possibilities and incentives to prevent default. The equilibrium presents stationary properties, such as an invariant distribution for the assets' solvency rate. |
publishDate |
2001 |
dc.date.issued.fl_str_mv |
2001-09-17 |
dc.date.accessioned.fl_str_mv |
2014-12-23T12:29:55Z |
dc.date.available.fl_str_mv |
2014-12-23T12:29:55Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
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article |
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publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10438/12975 |
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http://hdl.handle.net/10438/12975 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.ispartofseries.por.fl_str_mv |
Seminários de Almoço da EPGE |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.publisher.none.fl_str_mv |
Fundação Getulio Vargas. Escola de Pós-graduação em Economia |
publisher.none.fl_str_mv |
Fundação Getulio Vargas. Escola de Pós-graduação em Economia |
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Repositório Institucional do FGV (FGV Repositório Digital) |
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