Collateral premia and risk sharing under limited commitment

DOI10.1007/S00199-010-0535-0MaRDI QIDQ2431100zbMATH OpenOpenAlexFDO

Authors Weerachart T. Kilenthong

Publication date 8 April 2011

Published in Economic Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00199-010-0535-0

zbMATH Keywords

collateral premiumcomplete collateralized contractsendogenous incomplete marketsgeneral equilibriumlimited commitment

Mathematics Subject Classification ID

Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) General equilibrium theory (91B50)

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Cites work

• A First Course in Optimization Theory
• Bancruptcy in a model of unsecured claims.
• Bankruptcy and firm finance
• Collateral constraints and the amplification mechanism.
• Collateral restrictions and liquidity under-supply: a simple model
• Competitive Equilibrium Under Uncertainty
• Debt Constrained Asset Markets
• Default and Punishment in General Equilibrium1
• Efficiency, Equilibrium, and Asset Pricing with Risk of Default
• Endogenous collateral
• Envelope Theorems for Arbitrary Choice Sets
• Implications of Efficient Risk Sharing without Commitment
• Incomplete markets over an infinite horizon: Long-lived securities and speculative bubbles
• Incomplete markets, continuum of states and default
• Informal Insurance Arrangements with Limited Commitment: Theory and Evidence from Village Economies
• Nash and Walras equilibrium via Brouwer
• Optimal contracts and competitive markets with costly state verification
• Stationary Equilibria in Asset-Pricing Models with Incomplete Markets and Collateral
• WELFARE ECONOMICS AND EXISTENCE OF AN EQUILIBRIUM FOR A COMPETITIVE ECONOMY

Cited in

(17)

• Endogenous leverage and asset pricing in double auctions
• A theory of the non-neutrality of money with banking frictions and bank recapitalization
• Collateral amplification under complete markets
• The risk-sharing problem under limited liability constraints in a single-period model
• Equilibrium efficiency with secured and unsecured assets
• Debt collateralization, capital structure, and maximal leverage
• Collateral and the efficiency of monetary policy
• Equilibrium with limited-recourse collateralized loans
• Collateral constraints and rental markets
• Over-the-counter trade and the value of assets as collateral
• Savings and default
• Collateral equilibrium. I: A basic framework
• Consumer default with complete markets: default-based pricing and finite punishment
• Regulating collateral-requirements when markets are incomplete
• Dynamic competitive economies with complete markets and collateral constraints
• Martingale properties of self-enforcing debt
• Wealth transfers and the role of collateral when lifetimes are uncertain

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