Endogenous Cycles in Collateralized Credit

Endogenous Cycles in Collateralized Credit

This paper presents a simple and tractable equilibrium model, where collateralized credit emerges under limited commitment. We show that even if there is no time variation in fundamentals, credit trade can fluctuate endogenously over time. In our theory, credit fragilities are associated with endoge...

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Veröffentlicht in:Journal of money, credit and banking credit and banking, 2024-03, Vol.56 (2-3), p.627-646
Hauptverfasser: ARBUZOV, VYACHESLAV, AWAYA, YU, FUKAI, HIROKI, WATANABE, MAKOTO
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Sprache:eng
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collateral
Credit
Endogenous
endogenous credit market fluctuations
Equilibrium
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container_issue 2-3
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container_title Journal of money, credit and banking
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creator ARBUZOV, VYACHESLAV
AWAYA, YU
FUKAI, HIROKI
WATANABE, MAKOTO
description This paper presents a simple and tractable equilibrium model, where collateralized credit emerges under limited commitment. We show that even if there is no time variation in fundamentals, credit trade can fluctuate endogenously over time. In our theory, credit fragilities are associated with endogenous fluctuations in trade probabilities, collateral values, and lending volumes.
doi_str_mv 10.1111/jmcb.13029
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subjects collateral
Credit
Endogenous
endogenous credit market fluctuations
Equilibrium
search
title Endogenous Cycles in Collateralized Credit
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