Asset pledgeability and endogenously leveraged bubbles

• 成果类型: Article
• 署名作者: Bengui, Julien; Toan Phan
• 署名单位: Universite de Montreal; Universite de Montreal; Federal Reserve System - USA; Federal Reserve Bank - Richmond
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2018.06.005
• 发表日期: 2018
• 页码: 280-314
• 关键词: Rational bubbles; collateral; Credit pool; household debt; Equilibrium default

摘要

We develop a simple model of defaultable debt and rational bubbles in the price of an asset, which can be pledged as collateral in a competitive credit pool. When the asset pledgeability is low, the down payment is high, and bubble investment is unleveraged, as in a standard rational bubble model. When the pledgeability is high, the down payment is low, making it easier for leveraged borrowers to invest in the bubbly asset. As loans are packaged together into a competitive pool, the pricing of individual default risk may facilitate risk-taking. In equilibrium, credit-constrained borrowers may optimally choose a risky leveraged investment strategy - borrow to invest in the bubbly asset and default if the bubble bursts. The model predicts joint boom-bust cycles in asset prices and securitized credit. (C) 2018 Elsevier Inc. All rights reserved.