Creator: Todd, Richard M. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 310 Stichwort: Commodity, Futures market, Commodities, Buffer stock, and Commodity futures Fach: G13 - Contingent Pricing; Futures Pricing; option pricing and C68 - Computable General Equilibrium Models
Creator: Kehoe, Timothy Jerome, 1953- and Levine, David K. Series: Staff report (Federal Reserve Bank of Minneapolis. Research Department) Number: 380 Abstract:
Typical models of bankruptcy and collateral rely on incomplete asset markets. In fact, bankruptcy and collateral add contingencies to asset markets. In some models, these contingencies can be used by consumers to achieve the same equilibrium allocations as in models with complete markets. In particular, the equilibrium allocation in the debt constrained model of Kehoe and Levine (2001) can be implemented in a model with bankruptcy and collateral. The equilibrium allocation is constrained efficient. Bankruptcy occurs when consumers receive low income shocks. The implementation of the debt constrained allocation in a model with bankruptcy and collateral is fragile in the sense of Leijonhufvud’s “corridor of stability,” however: If the environment changes, the equilibrium allocation is no longer constrained efficient.
Fach: D61 - Allocative Efficiency; Cost-Benefit Analysis, D52 - Incomplete Markets, D50 - General Equilibrium and Disequilibrium: General, and G13 - Contingent Pricing; Futures Pricing; option pricing