| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13069 |
| DP13069 Dynamic Liquidity-Based Security Design | |
| Emre Ozdenoren; Kathy Yuan; Shengxing Zhang | |
| 发表日期 | 2018-07-23 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | Abstract We study a dynamic problem of the design and sale of a security backed by a long-lived asset. The dividend payment on the asset may be high or low. Issuers are privately informed about the quality of the asset, and raise capital by securitizing part of it to fund a productive technology. Issuers can pledge not only the current period payoff from the assets, but also the future resale price. There is a dynamic feedback loop between the future asset price and today's issuers' decision where both adverse selection and the productivity level determine the liquidity of the security. Multiple dynamic - liquid and illiquid - equilibria might arise when only equity contracts can be issued. We characterize the optimal security design and demonstrate short-term liquid collateralized debt, or short-term repo, is optimal and eliminates the multiple equilibria fragility. In fact, the unique equilibrium under debt contract improves social welfare relative to the illiquid equity equilibrium. |
| 主题 | Financial Economics |
| 关键词 | Liquidity Security design Financial fragility Repo |
| URL | https://cepr.org/publications/dp13069 |
| 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/541874 |
| 推荐引用方式 GB/T 7714 | Emre Ozdenoren,Kathy Yuan,Shengxing Zhang. DP13069 Dynamic Liquidity-Based Security Design. 2018. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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