.png){kind=icon}
返回
Dynamic Asset-Backed Security Design
.png){kind=icon}
OA
AI
DOI：10.1093/restud/rdad022.png)
.png){kind=icon}
原文求助.png){kind=icon}
分享.png){kind=icon}
收藏
摘要
En 中文
Borrowers obtain liquidity by issuing securities backed by the current period payoff and resale price of a long-lived collateral asset, and they are privately informed about the payoff distribution. Asset price can be self-fulfilling: a higher asset price lowers adverse selection and allows borrowers to raise greater funding, which makes the asset more valuable, leading to multiple equilibria. Optimal security design eliminates multiple equilibria, improves welfare, and can be implemented as a repo contract. Persistent adverse selection lowers debt funding, generates volatility in asset prices, and exacerbates credit crunches. The theory demonstrates the role of asset-backed securities on stability of market-based financial systems.
Keyword:
Liquidity
Dynamic price feedback
Intertemporal coordination
Security design
Multiple equilibria
Self-fulfilling prices
Financial fragility
Haircut
Repo
Repo runs
Asset-backed security
Collateral
Limited commitment
Adverse selection
Non-bank financial intermediary
Market-based financial intermediation
期刊
IF:
6.4
论文数:
2.5K
被引数:
2.1W
机构
引用论文
.png){kind=icon}
分享收藏分享收藏
查看更多内容