Haircuts, interest rates, and credit cycles

DOI10.1007/s00199-022-01447-zzbMath1520.91417OpenAlexW4287218427MaRDI QIDQ6113811

Zehao Liu, Chengbo Xie

Publication date: 9 August 2023

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

Full work available at URL: https://doi.org/10.1007/s00199-022-01447-z

zbMATH Keywords

collateralinterest ratescredit cyclesmisperceptionhaircuts

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Credit risk (91G40)

Cites Work

• Collateral equilibrium. I: A basic framework
• Collateralized borrowing and increasing risk
• An income fluctuation problem
• Debt collateralization, capital structure, and maximal leverage
• The perils of credit booms
• Belief Disagreements and Collateral Constraints
• Bank Runs, Deposit Insurance, and Liquidity
• Inefficient Credit Booms
• Bubbly Liquidity
• A Model of Capital and Crises
• Leverage and Default in Binomial Economies: A Complete Characterization
• A Theory of Debt Based on the Inalienability of Human Capital
• Cursed Equilibrium
• Judgemental Overconfidence, Self-Monitoring, and Trading Performance in an Experimental Financial Market
• Probability theory and stochastic processes
• Collateral constraints, tranching, and price bases

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