Arbeitspapier
Endogenous Repo Cycles
This paper presents a simple and tractable equilibrium model of repos, where collateralized credit emerges under limited commitment. We show that even if there is no time variation in fundamentals, repo markets can fluctuate endogenously over time. In our theory, repo market fragilities are associated with endogenous fluctuations in trade probabilities, collateral values, and debt limits. We show that the collateral premium of a durable asset will become the lowest right before a recession and the highest right after the recession and that secured credit is acyclical.
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. TI 2019-019/VII
- Klassifikation
-
Wirtschaft
Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data)
Monetary Policy, Central Banking, and the Supply of Money and Credit: General
Stochastic and Dynamic Games; Evolutionary Games; Repeated Games
- Thema
-
collateral
search
endogenous credit market fluctuations
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Watanabe, Makoto
Arbuzov, Vyacheslav
Awaya, Yu
Fukai, Hiroki
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
2019
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Watanabe, Makoto
- Arbuzov, Vyacheslav
- Awaya, Yu
- Fukai, Hiroki
- Tinbergen Institute
Entstanden
- 2019
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