全球智库信息集成服务系统(G2TT): DP3477 High Skilled Migration and the Exertion of Effort by the Local Population

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP3477
	DP3477 High Skilled Migration and the Exertion of Effort by the Local Population
	Gil S Epstein; Melanie Ward-Warmedinger; Astrid Kunze
发表日期	2002-07-20
出版年	2002
语种	英语
摘要	This Paper studies the optimal policies of borrowers (firms or individuals) who may default subject to default costs, and analyses the asset pricing implications. Borrowers defaulting under adverse economic conditions may, despite incurring default costs, emerge as wealthier than non-borrowers or those who can default costlessly. Under many economic scenarios, borrowers take on less risk exposure than non-borrowers. A larger risk exposure by borrowers may occur as well, however, depending on the structure of default costs and on how debt maturity relates to the planning horizon. In the latter case, borrowers' default policies render binary options useful instruments for lenders in hedging the credit-risk component of their assets. In our model, the asset-value dynamics are endogenously determined, and are shown to exhibit stochastic mean return and volatility in contrast to the exogenously assumed constant mean and volatility in many credit risk models. We consider a variety of extensions, including equilibrium, where a lower (higher) risk exposure by borrowers manifests itself in an attenuated (amplified) market volatility and risk premium, but the market value is always higher in economic downturns, and lower in upturns, compared to an economy without the presence of credit risk.
主题	Financial Economics
关键词	Credit risk Defaultable debt Investments Asset prcing Volatility
URL	https://cepr.org/publications/dp3477
来源智库	Centre for Economic Policy Research (United Kingdom)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/532493
推荐引用方式 GB/T 7714	Gil S Epstein,Melanie Ward-Warmedinger,Astrid Kunze. DP3477 High Skilled Migration and the Exertion of Effort by the Local Population. 2002.