Collateralized borrowing and increasing risk

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• 作者：Gregory Phelan
• 关键词：Asset prices ; Collateral constraints ; Leverage ; Risk
• 刊名：Economic Theory
• 出版年：2017
• 出版时间：February 2017
• 年：2017
• 卷：63
• 期：2
• 页码：471-502
• 全文大小：
• 刊物类别：Business and Economics
• 刊物主题：Economic Theory/Quantitative Economics/Mathematical Methods; Game Theory, Economics, Social and Behav. Sciences; Microeconomics; Public Finance;
• 出版者：Springer Berlin Heidelberg
• ISSN：1432-0479
• 卷排序：63

文摘

This paper uses a general equilibrium model with collateralized borrowing to show that increases in risk can have ambiguous effects on leverage, loan margins, loan amounts, and asset prices. Increasing risk about future payoffs and endowments can lead to riskier loans with larger balances and lower spreads even when lenders are risk averse and borrowers can default. As well, increasing the covariance of either agents’ endowments with the asset payoff can have ambiguous consequences for equilibrium. Though the effects are ambiguous, key determinants of how increased risk translates into changes in prices and allocations are the covariance of agents’ endowments with the asset payoff, agents’ risk aversion, and the location of increased risk in the distribution of future states. Some restricted changes in the borrower’s or lender’s endowments can have unambiguous but asymmetric effects on equilibrium.