1,721,031 research outputs found
Interim efficiency with MEU-preferences
No full textInternational audienceRecently Kajii and Ui (2009) proposed to characterize interim efficient allocations in an exchange economy under asymmetric information when uncertainty is represented by multiple posteriors. When agents have Bewley's incomplete preferences, Kajii and Ui (2009) proposed a necessary and sufficient condition on the set of posteriors. However, when agents have Gilboa–Schmeidler's MaxMin expected utility preferences, they only propose a sufficient condition. The objective of this paper is to complete Kajii and Ui's work by proposing a necessary and sufficient condition for interim efficiency for various models of ambiguity aversion and in particular MaxMin expected utility. Our proof is based on a direct application of some results proposed by Rigotti, Shannon and Stralecki (2008)
Interim efficiency with MEU-preferences
No full textRecently Kajii and (2008) proposed to characterize interim efficient allocations in an exchange economy under asymmetric information when uncertainty is represented by multiple posteriors. When agents have Bewley's incomplete preferences, Kajii and Ui (2008) proposed a necessary and sufficient condition on the set of posteriors. However, when agents have Gilboa--Schmeidler's MaxMin expected utility preferences, they only propose a sufficient condition. The objective of this paper is to complete Kajii and Ui's work by proposing a necessary and sufficient condition for interim efficiency for various models of ambiguity aversion and in particular MaxMin expected utility. Our proof is based on a direct application of some results proposed by Rigotti, Shannon and Stralecki (2008)
Equilibria in exchange economies with financial constraints: beyond the Cass trick
No full textWe consider an exchange economy under incomplete financiaI markets with purely financiaI securities and finitely many agents. When portfolios are not constrained, Cass [4], Duffie [7] and Florenzano-Gourdel [12] proved that arbitrage-free security prices fully characterize equilibrium security prices. This result is based on a trick initiated by Cass [4] in which one unconstrained agent behaves as if he were in complete markets. This approach is unsatisfactory since it is asymmetric and no more valid when every agent is subject to frictions. We propose a new and symmetric approach to prove that arbitrage-free security prices still fully characterize equilibrium security prices in the more realistic situation where the financiaI market is constrained by convex restrictions, provided that financiaI markets are collectively frictionless
Equilibre général avec une double infinité de biens et d'agents
No full textRapporteurs : ALIPRANTIS Roko, TOURKY Rabee. Président du jury : HILDENBRAND Werner. Jury : ALIPRANTIS Roko, BONNISSEAU Jean-Marc, CLARKE Francis, CORNET Bernard, HADDAD George, HILDENBRAND Werner, MACHINA Mark.We propose a new approach to prove the existence of Walrasian equilibria for economies with a measure space of agents and a finite or infinite dimensional commodity space. We begin to prove (in chapter 1) a discretization result for measurable correspondences, which allows us to consider an economy with a measure space of agents as the limit of a sequence of economies with a finite, but larger and larger, set of agents. In the framework of economies with a measure space of agents, we apply this result, first (in chapter 2) to economies with finitely many commodities, then (in chapter 3) to economies with a separable Banach commodity space ordered by a positive cone which has an interior point, and finally (in chapter 4) to economies with differentiated commodities. We generalize existence results of Aumann (1966), Schmeidler (1969), Hildenbrand (1970), Khan and Yannelis (1991), Rustichinni and Yannelis (1991), Ostroy and Zame (1994) and Podczeck (1997) to economies with non ordered preferences and with a non trivial production sector.Nous proposons une nouvelle approche pour démontrer l'existence d'équilibres de Walras pour des économies avec un espace mesuré d'agents et un espace des biens de dimension finie ou infinie. Dans un premier temps (chapitre 1) on démontre un résultat de discrétisation des correspondances mesurables, qui nous permettra de considérer une économie avec un espace mesuré d'agents comme la limite d'une suite d'économies avec un nombre fini d'agents. Dans le cadre des économies avec un espace mesuré d'agents, on applique tout d'abord (chapitre 2) ce résultat aux économies avec un nombre fini de biens, puis (chapitre 3) aux économies avec des biens modélisé par un Banach séparable ordonné par un cône positif d'intérieur non vide, et finalement (chapitre 4) aux économies avec des biens différenciés. On parvient ainsi à généraliser les résultats d'existence de Aumann (1966), Schmeidler (1969), Hildenbrand (1970), Khan et Yannelis (1991), Rustichini et Yannelis (1991), Ostroy et Zame (1994) et Podczeck (1997) aux économies avec des préférences non ordonnées et un secteur productif non trivial
Self-enforcing Debt, Reputation, and the Role of Interest Rates
No full textHow domestic costs of default do interact with the threat of exclusion from credit markets to determine interest rates and sovereign debt sustainability? In this paper, we address this question in the context of a stochastic general equilibrium model with lack of commitment and self-enforcing debt in which default has two consequences: loss of access to international borrowing and output costs. In contrast to Bulow and Rogoff (1989), we show that part of the ability to borrow is merely attributed to the threat of credit exclusion, or equivalently, to the loss of the sovereign's reputation. Apart from the limit case–analyzed by Hellwig and Lorenzoni (2009)–where output costs are absent, equilibrium interest rates are always higher than growth rates, implying that the way "reputation for repayment" supports debt does not depend on whether debt limits allow agents to exactly roll over existing debt period by period
Determinantes da remuneração do spread de certificados de recebíveis imobiliários no mercado brasileiro
No full textEste estudo tem por objetivo identificar as principais variáveis que afetam o spread de Certificados de Recebíveis Imobiliários (CRI) no mercado nacional no momento da emissão do título. Dentre as principais variáveis estudadas estão o volume de emissão, prazo dos títulos, existência de rating, tipo de emissão, dentre outros. Para o trabalho foi utilizada uma base de dados de acompanhamento do mercado realizado pela ANBIMA e contou com 535 emissões, realizadas entre 2005 e 2015, de CRI indexados ao IGP, IPCA, DI e TR, além de títulos pré-fixados. Foram elaboradas cinco regressões pelo método dos Mínimos Quadrados Ordinários (MQO) stepwise sendo que as amostras foram separadas de acordo com o tipo de indexador (IGP, IPCA, DI e TR) e uma que englobou todas as emissões. Os resultados se mostraram distintos para cada regressão realizada e as variáveis explicativas do spread que se mostraram significativas na maioria das regressões foram o volume de emissão e a variável representativa da percepção internacional do cenário brasileiro. A evolução apresentada por este estudo com relação aos trabalhos disponíveis na literatura é de expandir as análises realizadas com outros títulos mobiliários, como Debentures e Fundos de Investimento em Direito Creditórios, para os CRIs.This study has as an objective to identify the main variables that affect the Real Estate Receivables Certificates spread in the Brazilian market at the time of the issuance. Among the main variables studied are volume, securities term, existence of rating, type of issue among others. For this work a database held by ANBIMA was used considering 535 emissions, issued between 2005 and 2015, of CRI indexed to IGP, IPCA, DI and TR, as well as fixed income securities. Five regressions were elaborated by the ordinary least squares (OLS) stepwise methodology being that the samples were separated according to the type of index (IGP, IPCA, DI and TR) and one that encompassed all issues. The results were different for each regression and the explanatory variables of the spread that proved significant in most regressions were the volume of issue and the variable that represents international perception of the Brazilian scenario. The evolution presented by this study in relation to the papers available in the literature is that it expands the analyses with other securities such as debentures and Investment Funds in Credit Law, for the CRIs
Attitudes toward different sources of uncertainty
No full textOn the first chapter of this thesis we provide an axiomatization of Second Order Expected Utility model (SOEU) that does not restrict the decision maker’s attitude towards subjective uncertainty moreover, the subjective probability measure is unique and derived endogenously. On the second chapter we axiomatize a dynamic version of SOEU in which the ambiguity aversion may be stochastic and time-varying. Our dynamic representation also admits a corollary that generalizes the Hansen-Sargent Model. We also discuss a procedure to accommodate sources of uncertainty in a static environment. On the third chapter we show that for an infinite horizon economy, with complete contingent markets and default even with the most severe economic punishment (complete garnishment of current and future income (assets and endowments)) a competitive equilibrium never exists.No primeiro capítulo desta tese nós provemos uma axiomatização do modelo de Second Order Expected Utility (SOEU) que não restringe a atitude em relação a incerteza do tomador de decisão, além disso, a medida de probabilidade subjetiva é única e derivada endogenamente. No segundo capítulo nós axiomatizamos uma versão dinâmica de SOEU na qual a aversão a ambiguidade pode ser estocástica e variar no tempo. Nossa representação também admite um corolário que generaliza o modelo Hansen-Sargent. No terceiro capítulo nós mostramos para uma economia com horizonte infinito, mercados completos e default mesmo com a punição econômica mais severa (confisco completo de renda corrente e futura (ativos e dotações)) nunca existe equilíbrio competitivo
Contract enforcement and incentive compatibility in large economies with differential information: the role of exact feasibility
No full textWe consider exchange economies with a continuum of agents and differential information about finitely many states of nature. It was proved in Einy, Moreno and Shitovitz (2001) that if we allow for free disposal in the market clearing (feasibility) constraints then an irreducible economy has a competitive (or Walrasian expectations) equilibrium, and moreover, the set of competitive equilibrium allocations coincides with the private core. However when feasibility is defined with free disposal, competitive equilibrium allocations may not be incentive compatible and contracts may not be enforceable (see e.g. Glycopantis, Muir and Yannelis (2002)). This is the main motivation for considering equilibrium solutions with exact feasibility. We first prove that the results in Einy et al. (2001) are still valid without free-disposal. Then we define an incentive compatibility property motivated by the issue of contracts’ execution and we prove that every Pareto optimal exact feasible allocation is incentive compatible, implying that contracts of a competitive or core allocations are enforceable
Endogenous debt constraints in collateralized economies with default penalties
No full textIn infinite horizon financial markets economies, competitive equilibria fail to exist if one does not impose restrictions on agents' trades that rule out Ponzi schemes. When there is limited commitment and collateral repossession is the unique default punishment, Araujo, Páscoa and Torres-Martínez (2002) proved that Ponzi schemes are ruled out without imposing any exogenous/endogenous debt constraints on agents' trades. Recently Páscoa and Seghir (2009) have shown that this positive result is not robust to the presence of additional default punishments. They provide several examples showing that, in the absence of debt constraints, harsh default penalties may induce agents to run Ponzi schemes that jeopardize equilibrium existence. The objective of this paper is to close a theoretical gap in the literature by identifying endogenous borrowing constraints that rule out Ponzi schemes and ensure existence of equilibria in a model with limited commitment and (possible) default. We appropriately modify the definition of finitely effective debt constraints, introduced by Levine and Zame (1996) (see also Levine and Zame (2002)), to encompass models with limited commitment, default penalties and collateral. Along this line, we introduce in the setting of Araujo, Páscoa and Torres-Martínez (2002), Kubler and Schmedders (2003) and Páscoa and Seghir (2009) the concept of actions with finite equivalent payoffs. We show that, independently of the level of default penalties, restricting plans to have finite equivalent payoffs rules out Ponzi schemes and guarantees the existence of an equilibrium that is compatible with the minimal ability to borrow and lend that we expect in our model. An interesting feature of our debt constraints is that they give rise to budget sets that coincide with the standard budget sets of economies having a collateral structure but no penalties (as defined in Araujo, Páscoa and Torres-Martínez (2002)). This illustrates the hidden relation between finitely effective debt constraints and collateral requirements
Second-Order Beliefs and Second-Order Expected Utility
No full textWe present an axiomatization of the Second-Order Expected Utility model in the environment of Anscombe and Aumann (1963) where the domain of the preference relation is the set of lotteries over all acts whose prize are lotteries. We replace the axiom of reversal of order in compound lotteries (Assumption 1 in Anscombe and Aumann (1963)) by an extension of monotonicity in the prizes (Assumption 2 in Anscombe and Aumann (1963)) that is a strengthening of the Dominance axiom introduced by Seo (2009). This extends the contributions of Grant et al. (2009) by allowing for a general representation result without restricting the decision maker's attitude towards subjective uncertainty
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