| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP11678
|
| DP11678 Divergent Reference-Dependent Risk-Attitudes and Endogenous Collateral Constraints |
| Ester Faia
|
| 发表日期 | 2016-12-02
|
| 出版年 | 2016
|
| 语种 | 英语
|
| 摘要 | The booms preceding financial crises typically feature high exposure to risky assets, high leverage, asset price growth and low debt margins, which are then followed by sharp de-leveraging after the crisis. We build a model that endogenously generates such heightened leverage/deleverage cycle and asset price boom/bust with three elements. First borrowers exhibit gain-loss preferences around a time-varying reference level, hence they are increasingly risk tolerant at the upper tails and this fosters debt and risky asset demand, while they are loss-averse on the lower tails, something which fosters de-leveraging. Second they are subject to occasionally binding collateral constraints and third, there is heterogeneity in risk-attitudes between borrowers and lenders. The latter implies that the debt margin varies endogenously and countercyclically to close the gap between lenders/borrowers evaluations (namely debt demand and supply). We solve the model analytically and numerically, through a global method, namely policy function iterations with endogenously Markov-switching regimes. Numerically the model matches well several moments for asset prices, returns, equity premia and Sharpe ratio, the volatility of leverage, its procyclicality and the counter-cyclicality of the debt margins. |
| 主题 | Financial Economics
; International Macroeconomics and Finance
; Monetary Economics and Fluctuations
|
| 关键词 | Loss averse borrowers
Risk-tolerance
Endogenous price of risk
Excessive leverage
Occasionally binding constraints
|
| URL | https://cepr.org/publications/dp11678
|
| 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/540492
|
推荐引用方式
GB/T 7714 |
Ester Faia. DP11678 Divergent Reference-Dependent Risk-Attitudes and Endogenous Collateral Constraints. 2016.
|
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