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dc.contributor.authorMartins-da-Rocha, Victor-Filipe
dc.contributor.authorVailakis, Yiannis
dc.date.accessioned2012-11-15T11:03:24Z
dc.date.available2012-11-15T11:03:24Z
dc.date.issued2012
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/10573
dc.language.isoenen
dc.subjectCollateralen
dc.subjectDefault penaltiesen
dc.subjectPonzi schemesen
dc.subject.ddc332en
dc.subject.classificationjelD52en
dc.subject.classificationjelD91en
dc.titleOn Ponzi schemes in infinite horizon collateralized economies with default penaltiesen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe show, by means of an example, that in models where default is subject to both collateral repossession and utility punishments, opportunities for doing Ponzi schemes are not always ruled out and (refined) equilibria may fail to exist. This is true even if default penalties are moderate as defined in Páscoa and Seghir (Game Econ Behav 65:270–286, 2009). In our example, asset promises and default penalties are chosen such that, if an equilibrium does exist, agents never default on their promises. At the same time collateral bundles and utility functions are such that the full repayment of debts implies that the asset price should be strictly larger than the cost of collateral requirements. This is sufficient to induce agents to run Ponzi schemes and destroy equilibrium existence.en
dc.relation.isversionofjnlnameAnnals of finance
dc.relation.isversionofjnlvol8
dc.relation.isversionofjnlissue4
dc.relation.isversionofjnldate2012
dc.relation.isversionofjnlpages455-488
dc.relation.isversionofdoihttp://dx.doi.org/10.1007/s10436-012-0209-yen
dc.relation.isversionofjnlpublisherSpringeren
dc.subject.ddclabelEconomie financièreen


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