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Type	Journal Article
Scope	Discipline-based scholarship
Title	Dynamic competitive economies with complete markets and collateral constraints
Organization Unit	Financial Economics (Felix Kübler)
Authors	Piero Gottardi Felix Kübler
Item Subtype	Original Work
Refereed	Yes
Status	Published in final form
Language	English
Journal Title	Review of Economic Studies
Publisher	Oxford University Press
Geographical Reach	international
ISSN	0034-6527
Volume	82
Number	3
Page Range	1119 - 1153
Date	2015
Abstract Text	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.
Related URLs	http://restud.oxfordjournals.org/content/82/3/1119 (Publisher)
Digital Object Identifier	10.1093/restud/rdv002
Other Identification Number	merlin-id:12578
PDF File	Download from ZORA
Export	BibTeX EP3 XML (ZORA)
Additional Information	This is a pre-copy-editing, author-produced PDF of an article accepted for publication in The Review of Economic Studies following peer review. The definitive publisher-authenticated version Gottardi P, Kubler F: Dynamic Competitive Economies with Complete Markets and Collateral Constraints, 2015, 82(3), 1119-1153 is available online at: http://doi.org/10.1093/restud/rdv002.