Collateral and reputation in a model of strategic defaults

DOI10.1016/J.JEDC.2023.104755MaRDI QIDQ6087280zbMATH OpenOpenAlexFDO

Authors Georgy Lukyanov

Publication date 15 November 2023

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2023.104755

zbMATH Keywords

collateraldefaultreputation

Mathematics Subject Classification ID

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

Recommendations

• A MODEL OF COLLATERAL: ENDOGENIZING THE BORROWING CONSTRAINT
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Cites work

• Belief-based refinements in signalling games
• Collateral equilibrium. I: A basic framework
• Default and Punishment in General Equilibrium1
• Leverage dynamics and credit quality
• Predation, reputation, and entry deterrence
• Reputation and imperfect information
• Signaling Games and Stable Equilibria
• The consequences of mortgage credit expansion: evidence from the U.S. mortgage default crisis

Cited in

(5)

• Credit markets with moral hazard and heterogeneous valuations of collateral
• Making promises in infinite-horizon economies with default and collateral
• A Theory of Collateral for the Lender of Last Resort*
• Default and exogenous collateral in incomplete markets with a continuum of states
• Rothschild/Stiglitz dominance and (in)compatibility of collateral in the presence of ex ante hidden information

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