COLLATERAL REQUIREMENTS AND ASSET PRICES

• 成果类型: Article
• 署名作者: Brumm, Johannes; Grill, Michael; Kubler, Felix; Schmedders, Karl
• 署名单位: University of Zurich; European Central Bank; Swiss Finance Institute (SFI)
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/iere.12092
• 发表日期: 2015
• 页码: 1-25
• 关键词: macroeconomic model; Margin requirements; equilibrium; substitution; MARKETS; cycles

摘要

Many assets derive their value not only from future cash flows but also from their ability to serve as collateral. In this article, we investigate this collateral premium and its impact on asset returns in an infinite-horizon general equilibrium model with heterogeneous agents. We document that borrowing against collateral substantially increases the return volatility of long-lived assets. Moreover, otherwise identical assets with different degrees of collateralizability exhibit substantially different return dynamics because their prices contain a sizable collateral premium that varies over time. This premium can be positive even for assets that never pay dividends.