G2TT
来源类型Discussion paper
规范类型论文
来源IDDP15757
DP15757 Financial Fragility with Collateral Circulation
Piero Gottardi; Vincent Maurin; Cyril Monnet
发表日期2021-02-02
出版年2021
语种英语
摘要We present a model of secured credit chains in which the circulation of risky collateral generates fragility. An intermediary stands between a borrower and a financier. The intermediary borrows to finance her own investment opportunity, subject to a moral hazard problem, and in addition, can intermediate funds. She will only do so if she can repledge to the financier the collateral pledged by the borrower. We show that when the repledged collateral is sufficiently risky and the loan that it secures is recourse, the circulation of collateral generates fragility in the chain, by undermining the intermediary's incentives. The arrival of news about the value of the repledged collateral further increases fragility. This fragility channel of collateral re-use generates a premium for safe or opaque collateral. The environment considered in our model applies to various situations, such as trade credit chains, securitization and repo markets.
主题Financial Economics ; Industrial Organization ; International Macroeconomics and Finance ; Macroeconomics and Growth
关键词Collateral Credit chains Secured lending Intermediation Fragility
URLhttps://cepr.org/publications/dp15757
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/544759
推荐引用方式
GB/T 7714
Piero Gottardi,Vincent Maurin,Cyril Monnet. DP15757 Financial Fragility with Collateral Circulation. 2021.
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