A SEQUENTIAL MODEL OF ENDOGENOUS COLLATERAL / UM MODELO SEQUENCIAL DE COLATERAL ENDÓGENO
AUTOR(ES)
DANIEL CHRITY
DATA DE PUBLICAÇÃO
2004
RESUMO
This paper develops and establishes the existence of equilibrium for a sequential model with two stages, incomplete financial markets, credit risk and endogenous collateral. In the first stage, by choosing the collateral, according to a predetermined and exogenously given rule, the agents issue personalized securities that will be traded in the second stage in aWalrasian economy with two periods. Our structure allows for models in which the agents choose their own collateral, similar to the existing endogenous collateral models. Those models exhibit what we might call, The Winner s Curse, a situation in which the agent choose, rationally, to offer no collateral, making asset trading impossible, in equilibrium. The economy is then thrown in a Paretoinferior equilibria in which there are no financial markets. By introducing the agent s choice in a sequential fashion, we avoid such a problem, because the agents anticipate the effects of their collateral choice over the equilibrium payoffs, therefore choosing rationally, positive collateral. That way, we are able, not only to solve a shortcoming of the existing models, but also to allow for a variety of sub-models through the several possible choices for the collateral determining rule.
ASSUNTO(S)
incomplete markets inovacao financeira colateral endogeno equilibrium selection mercados incompletos endogenous collateral selecao de equilibrios financial innovation
