Wealth, endogenous collateral quality, and financial crises

• 成果类型: Article
• 署名作者: Liu, Zehao; Sinclair, Andrew J.
• 署名单位: Renmin University of China; University of Hong Kong; California Institute of Technology
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2022.105526
• 发表日期: 2022
• 关键词: Collateral quality; financial crises; Crisis severity; information acquisition; WEALTH

摘要

We propose a model of collateralized lending in which (1) borrowers endogenously determine collateral quality and (2) lenders can produce costly information about collateral payoffs. Our model yields several novel predictions: wealthier economies use lower quality collateral in equilibrium, have more severe finan-cial crises, and have less frequent crises. We provide both micro and macro empirical evidence. In the U.S. mortgage market wealthier lenders accept lower quality collateral, and, looking across countries, wealthier economies use lower quality collateral and the collateral channel explains the link between wealth and crisis severity.(c) 2022 Elsevier Inc. All rights reserved.