Collateral constraints and asset prices

• 成果类型: Article
• 署名作者: Chabakauri, Georgy; Han, Brandon Yueyang
• 署名单位: University of London; London School Economics & Political Science; University System of Maryland; University of Maryland College Park
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2020.06.012
• 发表日期: 2020
• 页码: 754-776
• 关键词: Collateral; Heterogeneous preferences; DISAGREEMENT; asset prices; stationary equilibrium

摘要

We study the effects of collateral constraints in an economy populated by investors with nonpledgeable labor incomes and heterogeneous preferences and beliefs. We show that these constraints inflate stock prices and generate spikes and crashes in price-dividend ratios and volatilities, clustering of volatilities, and leverage cycles. They also lead to substantial decreases in interest rates and increases in Sharpe ratios when investors are anxious about hitting constraints due to production crises in the economy. Furthermore, stock prices have large collateral premiums over nonpledgeable incomes. We derive asset prices and stationary distributions of the investors' consumption shares in closed form. (C) 2020 Elsevier B.V. All rights reserved.