Collateral-Motivated Financial Innovation

• 成果类型: Article
• 署名作者: Shen, Ji; Yan, Hongjun; Zhang, Jinfan
• 署名单位: University of London; London School Economics & Political Science; Yale University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhu036
• 发表日期: 2014
• 页码: 2961
• 关键词: Security design; MARKET; RISK; equilibrium; liquidity; volatility; arbitrage

摘要

Collateral frictions have a profound effect on our economic landscape, ranging from the design of financial securities, laws, and institutions, to various rules and regulations. We analyze a model with disagreement, where securities and collateral requirements are endogenous. It shows that the security that isolates the variable with disagreement is optimal in the sense that alternative securities cannot generate any trading. In an economy with N states, investors may introduce more than N securities, and markets are still incomplete. The model has several novel predictions on the behavior of basis-the spread between the prices of an asset and its replicating portfolio.