| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP10148
|
| DP10148 Collateralisation bubbles when investors disagree about risk |
| Tobias Broer; Afroditi Kero
|
| 发表日期 | 2014-09-21
|
| 出版年 | 2014
|
| 语种 | 英语
|
| 摘要 | Survey respondents strongly disagree about return risks and, increasingly, macroeconomic uncertainty. This may have contributed to higher asset prices through increased use of collateralisation, which allows risk-neutral investors to realise perceived gains from trade. Investors with lower risk perceptions buy collateralised loans, whose downside-risk they perceive as small. Investors with higher risk perceptions buy upside-risk through asset purchase and collateralised loan issuance, raising prices. More complex collateralised contracts, like CDOs, can increase prices further. In contrast, with disagreement about mean payoffs, price bubbles arise without collateralisation, which may discipline prices as pessimists demand higher returns on risky loans. |
| 主题 | Financial Economics
|
| 关键词 | Asset prices
Bubbles
Disagreement
Heterogeneous beliefs
Volatility
|
| URL | https://cepr.org/publications/dp10148
|
| 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/538981
|
推荐引用方式
GB/T 7714 |
Tobias Broer,Afroditi Kero. DP10148 Collateralisation bubbles when investors disagree about risk. 2014.
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