Regulating collateral-requirements when markets are incomplete

DOI10.1016/J.JET.2010.09.004MaRDI QIDQ413485zbMATH OpenOpenAlexFDO

Authors Felix Kubler, Susan Schommer, Aloisio Araujo

Publication date 7 May 2012

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

Full work available at URL https://www.zora.uzh.ch/id/eprint/38755/1/Regulating_Collateral_when_markets_are_incomplete.pdf

zbMATH Keywords

collateraldefaultregulationincomplete marketsgeneral equilibriumrisk sharingwelfarePareto efficiencygovernment interventionidentical homothetic utility

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) General equilibrium theory (91B50)

Recommendations

• Collateral premia and risk sharing under limited commitment
• Equilibrium with default and endogenous collateral.
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• scientific article; zbMATH DE number 1642333

Cites work

• Collateral Avoids Ponzi Schemes in Incomplete Markets
• Collateral premia and risk sharing under limited commitment
• Default and Punishment in General Equilibrium1
• Endogenous collateral
• Equilibrium with default and endogenous collateral.
• Pareto improving financial innovation in incomplete markets
• Stationary Equilibria in Asset-Pricing Models with Incomplete Markets and Collateral

Cited in

(22)

• Collateral requirements and asset prices
• Collateral and the efficiency of monetary policy
• Dynamic competitive economies with complete markets and collateral constraints
• Collateral amplification under complete markets
• Prices and investment with collateral and default
• Introduction to general equilibrium
• Debt collateralization, capital structure, and maximal leverage
• Collateral equilibrium. I: A basic framework
• Equilibrium efficiency with secured and unsecured assets
• Surprise and default in general equilibrium
• Why does bad news increase volatility and decrease leverage?
• Behavioral arbitrage with collateral and uncertain deliveries
• Equilibrium with default and endogenous collateral.
• Pareto Improving Price Regulation when the Asset Market is Incomplete
• The impossibility of effective enforcement mechanisms in collateralized credit markets
• Collateral constraints, tranching, and price bases
• Collateral premia and risk sharing under limited commitment
• Partially revealing rational expectations equilibrium with real assets and binding constraints
• Collateralized borrowing and increasing risk
• General equilibrium, preferences and financial institutions after the crisis
• Financial segmentation and collateralized debt in infinite-horizon economies
• Collateral Avoids Ponzi Schemes in Incomplete Markets

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