Dynamic Asset-Backed Security Design

• 成果类型: Article
• 署名作者: Ozdenoren, Emre; Yuan, Kathy; Zhang, Shengxing
• 署名单位: University of London; London Business School; Centre for Economic Policy Research - UK; University of London; London School Economics & Political Science; Peking University; Peking University Shenzhen Graduate School (PKU Shenzhen)
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1093/restud/rdad022
• 发表日期: 2023
• 页码: 3282-3314
• 关键词: Adverse selection; liquidity; INFORMATION; MARKETS; lemons; MODEL

摘要

Borrowers obtain liquidity by issuing securities backed by the current period payoff and resale price of a long-lived collateral asset, and they are privately informed about the payoff distribution. Asset price can be self-fulfilling: a higher asset price lowers adverse selection and allows borrowers to raise greater funding, which makes the asset more valuable, leading to multiple equilibria. Optimal security design eliminates multiple equilibria, improves welfare, and can be implemented as a repo contract. Persistent adverse selection lowers debt funding, generates volatility in asset prices, and exacerbates credit crunches. The theory demonstrates the role of asset-backed securities on stability of market-based financial systems.