Asset shortages, liquidity and speculative bubbles

• 成果类型: Article
• 署名作者: Bloise, G.; Citanna, A.
• 署名单位: Yeshiva University
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2019.07.011
• 发表日期: 2019
• 页码: 952-990
• 关键词: liquidity; collateral; credit; Conditional efficiency; Speculative bubble

摘要

We study the effect of asset shortages on liquidity in economies with limited enforcement of debt contracts. We establish that, under a suitable assumption in terms of gains from trade, liquidity does not dry up and trading volumes do not disappear as credit conditions worsen. The equilibrium outcome becomes arbitrarily close to a purely speculative equilibrium, and bubbles occur in the limit. The result applies to incomplete markets and, more generally, to equilibria where collateral constraints interfere with the additivity of the payoff pricing functional. (C) 2019 Elsevier Inc. All rights reserved.