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Collateral quality and intervention traps *
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DOI：10.1016/j.jfineco.2022.10.005.png)
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What determines the supply of good collateral? We study a dynamic model in which bor-rowers must exert effort to maintain collateral quality and markets become illiquid when average quality is too low. Average quality grows quickly when it is high initially, but dete-riorates or grows slowly otherwise. As such, even long-run market conditions are sensitive to a wide array of fundamental and non-fundamental shocks. Recoveries from illiquidity can occur, but only if funding is inefficiently rationed for some time. Policymakers without commitment may fall into intervention traps in which ex-post efficient liquidity injections cause permanent declines in collateral quality.(c) 2022 Elsevier B.V. All rights reserved.
Keyword:
Collateral
Liquidity
Adverse selection
Credit market interventions
Financial fragility
期刊
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12
论文数:
3.8K
被引数:
5.5W
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