Arbeitspapier
Collateral requirements and asset prices
Many assets derive their value not only from future cash flows but also from their ability to serve as collateral. In this paper, we investigate this collateral value and its impact on asset returns in an infinite-horizon general equilibrium model with heterogeneous agents facing collateral constraints for borrowing. We document that borrowing against collateral substantially increases the return volatility of long-lived assets. Moreover, otherwise identical assets with different degrees of collateralizability exhibit substantially different return dynamics because their prices contain a sizable collateral premium that varies over time. This premium can be positive even for assets that never pay dividends.
- ISBN
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978-3-86558-974-3
- Language
-
Englisch
- Bibliographic citation
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Series: Bundesbank Discussion Paper ; No. 44/2013
- Classification
-
Wirtschaft
General Equilibrium and Disequilibrium: Financial Markets
Portfolio Choice; Investment Decisions
Asset Pricing; Trading Volume; Bond Interest Rates
- Subject
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collateral constraints
collateral premium
endogenous margins
heterogeneous agents
leverage
- Event
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Geistige Schöpfung
- (who)
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Brumm, Johannes
Grill, Michael
Kubler, Felix
Schmedders, Karl
- Event
-
Veröffentlichung
- (who)
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Deutsche Bundesbank
- (where)
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Frankfurt a. M.
- (when)
-
2013
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Brumm, Johannes
- Grill, Michael
- Kubler, Felix
- Schmedders, Karl
- Deutsche Bundesbank
Time of origin
- 2013
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