General equilibrium with endogenous uncertainty and default

被引：10

作者：

Chichilnisky, Graciela ^{[1
]}

Wu, Ho-Mou ^{[1
]}

机构：

[1] Columbia Univ, New York, NY 10027 USA

来源：

JOURNAL OF MATHEMATICAL ECONOMICS | 2006年 / 42卷 / 4-5期

关键词：

default; financial innovation; individual risk; collective risk; endogenous uncertainty;

D O I：

10.1016/j.jmateco.2006.06.001

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We study the introduction of new assets that are defined in expected values rather than state by state. Individual default emerges naturally in an economy where such, assets are introduced without completing all contingency markets. We further provide conditions under which individual default is propagated endogenously into a collective risk of widespread default in general equilibrium. We prove existence of a general equilibrium with endogenous uncertainty. (c) 2006 Elsevier B.V. All rights reserved.

引用

页码：499 / 524

页数：26

共 30 条

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[Anonymous], MARKETS INFORM UNCER

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