Dynamic Competitive Economies with Complete Markets and Collateral Constraints

• 成果类型: Article
• 署名作者: Gottardi, Piero; Kubler, Felix
• 署名单位: European University Institute; Universita Ca Foscari Venezia; University of Zurich; Swiss Finance Institute (SFI)
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1093/restud/rdv002
• 发表日期: 2015
• 页码: 1119-1153
• 关键词: Incomplete markets; equilibria; RISK; liquidity

摘要

In this article we examine the competitive equilibria of a dynamic stochastic economy with complete markets and collateral constraints. We show that, provided the sets of asset pay-offs and of collateral levels are sufficiently rich, the equilibrium allocations with sequential trades and collateral constraints are equivalent to those obtained in Arrow-Debreu markets subject to a series of limited pledgeability constraints. We provide both necessary and sufficient conditions for equilibria to be Pareto efficient and show that when collateral is scarce equilibria are not only Pareto inefficient but also often constrained inefficient, in the sense that imposing tighter borrowing restrictions can make everybody in the economy better off. We derive sufficient conditions for the existence of Markov equilibria and, for the case of two agents, for the existence of equilibria that have finite support. These equilibria can be computed with arbitrary accuracy and the model is very tractable.