IDEAS home Printed from https://ideas.repec.org/h/wsi/wschap/9789812791696_0001.html
   My bibliography  Save this book chapter

Collateral Constraints, Debt Management, and Investment Incentives

In: Advances In Quantitative Analysis Of Finance And Accounting

Author

Listed:
  • Elettra Agliardi

    (University of Bologna, Italy)

  • Rainer Andergassen

    (University of Bologna, Italy)

Abstract

This chapter analyses the hedging decisions of an emerging economy which is exposed to market risks and whose debt contract is subject to collateral constraints. Within a sovereign debt model with default risk and endogenous collateral, the optimal choice of hedging instruments are studied when both futures and nonlinear derivatives are available. It is examined in which way the hedging policy is affected by the cost of default and the financial constraints of the economy and some implications are provided in terms of resource allocation.

Suggested Citation

  • Elettra Agliardi & Rainer Andergassen, 2008. "Collateral Constraints, Debt Management, and Investment Incentives," World Scientific Book Chapters, in: Cheng-Few Lee (ed.), Advances In Quantitative Analysis Of Finance And Accounting, chapter 1, pages 1-13, World Scientific Publishing Co. Pte. Ltd..
  • Handle: RePEc:wsi:wschap:9789812791696_0001
    as

    Download full text from publisher

    File URL: https://www.worldscientific.com/doi/pdf/10.1142/9789812791696_0001
    Download Restriction: Ebook Access is available upon purchase.

    File URL: https://www.worldscientific.com/doi/abs/10.1142/9789812791696_0001
    Download Restriction: Ebook Access is available upon purchase.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    Hedging Strategies; Expense Mismatching; Stock Split; Trading Volume; Portfolio Optimization; Intraday Patterns; Earnings Management; International Winner-Loser Effect;
    All these keywords.

    JEL classification:

    • G2 - Financial Economics - - Financial Institutions and Services
    • G3 - Financial Economics - - Corporate Finance and Governance

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:wschap:9789812791696_0001. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: . General contact details of provider: http://www.worldscientific.com/page/worldscibooks .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscientific.com/page/worldscibooks .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.