Why does bad news increase volatility and decrease leverage?

DOI10.1016/J.JET.2011.07.001zbMath1258.91100OpenAlexW3124368864MaRDI QIDQ413491

Ana Fostel, John D. Geanakoplos

Publication date: 7 May 2012

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: http://www.imf.org/external/pubs/cat/longres.aspx?sk=24197

zbMATH Keywords

collateralvolatilityvolatility smileVaRendogenous leverage

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Financial applications of other theories (91G80) Economics of information (91B44)

Related Items (9)

Partially revealing rational expectations equilibrium with real assets and binding constraints ⋮ Endogenous leverage and asset pricing in double auctions ⋮ The effects of dependent beliefs on endogenous leverage ⋮ Collateral equilibrium. I: A basic framework ⋮ Collateral constraints, tranching, and price bases ⋮ Introduction to general equilibrium ⋮ Why does bad news increase volatility and decrease leverage? ⋮ Debt collateralization, capital structure, and maximal leverage ⋮ Collateralized borrowing and increasing risk

Cites Work

• Regulating collateral-requirements when markets are incomplete
• Why does bad news increase volatility and decrease leverage?
• Collateral restrictions and liquidity under-supply: a simple model
• Viable prices in financial markets with solvency constraints
• Post-'87 crash fears in the S\&P 500 futures option market
• The Impact of Uncertainty Shocks

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