Preprint A124/2002
Infinite Horizon Incomplete Markets: Long-lived Assets, Default and Bubbles.
Juan Pablo Torres-Martinez | Araujo, Aloisio | Pascoa, Mario Rui
Keywords: Collateral | Multiperiod Assets | Equilibrium | Bubbles.
This paper proposes a model of equilibrium with a general multi-period securities structrure, in an economy with infinite horizon, where assets are protected by collateral in case of default. We allow the possibility of endogenous renegotiation of the assets, node by node. The existence of equilibrium is showen and properties of pricing, as the existence of bubbles in admissivel prices, are discussed.