Endogenous borrowing constraints and default when markets are incomplete

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...

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Detalles Bibliográficos
Autor: Braido, Luís Henrique Bertolino
Tipo de recurso: artículo
Estado:Versión publicada
Fecha de publicación:2001
País:Brasil
Institución:Fundação Getulio Vargas (FGV)
Repositorio:Repositório Institucional do FGV (FGV Repositório Digital)
Idioma:inglés
OAI Identifier:oai:repositorio.fgv.br:10438/12975
Acceso en línea:http://hdl.handle.net/10438/12975
Access Level:acceso abierto
Palabra clave:Borrowing constraint
General equilibrium
Incomplete markets
Risk
Default
Stationary
Markov
Economia
Equilíbrio econômico
Risco (Economia)
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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
dc.creator.none.fl_str_mv Braido, Luís Henrique Bertolino
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.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
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10438/12975
url 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
dc.source.none.fl_str_mv reponame:Repositório Institucional do FGV (FGV Repositório Digital)
instname:Fundação Getulio Vargas (FGV)
instacron:FGV
instname_str Fundação Getulio Vargas (FGV)
instacron_str FGV
institution FGV
reponame_str Repositório Institucional do FGV (FGV Repositório Digital)
collection Repositório Institucional do FGV (FGV Repositório Digital)
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spelling Escolas::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:FGVBraido, Luís Henrique BertolinoORIGINAL000305147_b814e.pdf000305147_b814e.pdfapplication/pdf530243https://repositorio.fgv.br/bitstreams/b2619611-75a1-45c9-a3c2-f3f7cbcca38e/downloadc8519ad6d2afd970e76c732ae4a8b241MD51LICENSElicense.txtlicense.txttext/plain; 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