Financial Innovation, Collateral, and Investment

• 成果类型: Article
• 署名作者: Fostel, Ana; Geanakoplos, John
• 署名单位: University of Virginia; Yale University; The Santa Fe Institute
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.20130183
• 发表日期: 2016
• 页码: 242-284
• 关键词: generic existence; Leverage cycle; equilibrium; liquidity

摘要

Financial innovations that change how promises are collateralized affect prices and investment, even in the absence of any change in fundamentals. In C-models, the ability to leverage an asset always generates overinvestment compared to Arrow-Debreu. Credit Default Swaps always leads to underinvestment with respect to Arrow-Debreu, and in some cases even robustly destroy competitive equilibrium. The need for collateral would seem to cause underinvestment. Our analysis illustrates a countervailing force: goods that serve as collateral yield additional services and can therefore be over-valued and over-produced. In models without cash flow problems there is never marginal underinvestment on collateral.