Divergent risk-attitudes and endogenous collateral constraints

DOI10.1016/J.JET.2020.105175zbMATH Open1458.91218OpenAlexW3121701354MaRDI QIDQ1995320FDOQ1995320

Authors: Giuliano Curatola, Ester Faia 

Publication date: 23 February 2021

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jet.2020.105175

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zbMATH Keywords

occasionally binding constraintsrisk-toleranceendogenous debt marginsleverage cycleloss averse borrowers

Mathematics Subject Classification ID

Financial networks (including contagion, systemic risk, regulation) (91G45)

Cites Work

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• Prospect theory and asset prices
• Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
• The Midweight Method to Measure Attitudes Toward Risk and Ambiguity
• Belief disagreements and collateral constraints
• Consumption network effects
• Behavioral learning equilibria
• EQUILIBRIUM ASSET PRICES AND SAVINGS OF HETEROGENEOUS AGENTS IN THE PRESENCE OF INCOMPLETE MARKETS AND PORTFOLIO CONSTRAINTS
• Do financial professionals behave according to prospect theory? An experimental study

Cited In (9)

• Cycles and self-fulfilling crises in open economies with stock collateral constraints under impatience
• Multiple equilibria in open economies with collateral constraints
• Household debt and crises of confidence
• The effects of dependent beliefs on endogenous leverage
• Belief disagreements and collateral constraints
• Wealth, endogenous collateral quality, and financial crises
• Investor borrowing heterogeneity in a Kiyotaki-Moore style macro model
• Financial frictions and the wealth distribution
• Collateralized borrowing and increasing risk

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