Divergent risk-attitudes and endogenous collateral constraints

DOI10.1016/J.JET.2020.105175MaRDI QIDQ1995320zbMATHOpenAlexFDO

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

zbMATH Keywords

occasionally binding constraintsrisk-toleranceendogenous debt marginsleverage cycleloss averse borrowers

Mathematics Subject Classification ID

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

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Cites work

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• EQUILIBRIUM ASSET PRICES AND SAVINGS OF HETEROGENEOUS AGENTS IN THE PRESENCE OF INCOMPLETE MARKETS AND PORTFOLIO CONSTRAINTS
• Equilibrium in a Production Economy with an Income Tax
• Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
• Myopic Loss Aversion and the Equity Premium Puzzle
• Prospect Theory: An Analysis of Decision under Risk
• Prospect theory and asset prices
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• The Midweight Method to Measure Attitudes Toward Risk and Ambiguity

Cited in

(9)

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

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