Collateral equilibrium. I: A basic framework
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Publication:403702
DOI10.1007/S00199-013-0797-4zbMATH Open1307.91200OpenAlexW3125585754MaRDI QIDQ403702FDOQ403702
Authors: William R. Zame, John D. Geanakoplos 
Publication date: 29 August 2014
Published in: Economic Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00199-013-0797-4
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Microeconomic theory (price theory and economic markets) (91B24) General equilibrium theory (91B50) Actuarial science and mathematical finance (91G99)
Cites Work
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- Equilibrium in incomplete markets. II: Generic existence in stochastic economies
- On the optimality of equilibrium when the market structure is incomplete
- Default and Punishment in General Equilibrium1
- Endogenous collateral
- Collateral premia and risk sharing under limited commitment
- Regulating collateral-requirements when markets are incomplete
- Why does bad news increase volatility and decrease leverage?
- Effectively complete equilibria -- A note
- Infinite Horizon Incomplete Markets
- Collateral Avoids Ponzi Schemes in Incomplete Markets
- Dept constraints and equilibrium in infinite horizon economies with incomplete markets
- Viable prices in financial markets with solvency constraints
- General equilibrium in CLO markets
- Belief disagreements and collateral constraints
- Default Probabilities for Mortgages
- Collateral requirements and asset prices
- Options and equilibrium
Cited In (42)
- Asymmetric information in frictional markets for liquidity: collateralized credit vs asset sale
- Effects of credit limit on efficiency and welfare in a simple general equilibrium model
- On bankruptcy in general equilibrium with uncertainty
- Entrepreneurs, legal institutions and firm dynamics
- Collateral and reputation in a model of strategic defaults
- Endogenous leverage and asset pricing in double auctions
- Leverage and default in binomial economies: a complete characterization
- Production, bankruptcy, and financial policies under collateral constraints
- Equilibrium efficiency with secured and unsecured assets
- Asset pledgeability and endogenously leveraged bubbles
- Deposit Collateral and the Role of Banks *
- Collateral requirements and asset prices
- Collateral secured loans in a monetary economy
- Asset shortages, liquidity and speculative bubbles
- A Theory of Collateral for the Lender of Last Resort*
- Over-the-counter trade and the value of assets as collateral
- Partially revealing rational expectations equilibrium with real assets and binding constraints
- Regulating collateral-requirements when markets are incomplete
- The effects of dependent beliefs on endogenous leverage
- Equilibrium with limited-recourse collateralized loans
- Intertemporal equilibrium with financial asset and physical capital
- On default and uniqueness of monetary equilibria
- Debt-deflation versus the liquidity trap: the dilemma of nonconventional monetary policy
- Optimal loan-to-value ratio and the efficiency gains of default
- Credit risk in general equilibrium
- General equilibrium in CLO markets
- Credit segmentation in general equilibrium
- Collateral and bank screening as complements: a spillover effect
- Collateralized assets and asymmetric information
- Equilibrium in collateralized asset markets: credit contractions and negative equity loans
- Prices and investment with collateral and default
- Debt collateralization, capital structure, and maximal leverage
- On the Pareto efficiency of term structure targeting policies
- The impossibility of effective enforcement mechanisms in collateralized credit markets
- Collateral constraints, tranching, and price bases
- Incomplete financial markets with real assets and wealth-dependent credit limits
- Haircuts, interest rates, and credit cycles
- Endogenous collateral
- Collateralized borrowing and increasing risk
- Recourse loans and Ponzi schemes
- Collateral and the efficiency of monetary policy
- Prudential capital controls or bailouts? The impact of different collateral constraint assumptions
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