Collateral requirements and asset prices
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of this item:
- Johannes Brumm & Michael Grill & Felix Kubler & Karl Schmedders, 2015. "Collateral Requirements And Asset Prices," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 56, pages 1-25, February.
- Johannes Brumm & Michael GRILL & Felix KUBLER & Karl SCHMEDDERS, "undated". "Collateral Requirements and Asset Prices," Swiss Finance Institute Research Paper Series 11-10, Swiss Finance Institute.
- Michael Grill & Karl Schmedders & Felix Kubler & Johannes Brumm, 2011. "Collateral Requirements and Asset Prices," 2011 Meeting Papers 737, Society for Economic Dynamics.
References listed on IDEAS
- Markus K. Brunnermeier & Lasse Heje Pedersen, 2009.
"Market Liquidity and Funding Liquidity,"
Review of Financial Studies,
Society for Financial Studies, vol. 22(6), pages 2201-2238, June.
- Brunnermeier, Markus K & Pedersen, Lasse Heje, 2007. "Market Liquidity and Funding Liquidity," CEPR Discussion Papers 6179, C.E.P.R. Discussion Papers.
- Lasse Heje Pederson & Markus K Brunnermeier, 2007. "Market Liquidity and Funding Liquidity," FMG Discussion Papers dp580, Financial Markets Group.
- Brunnermeier, Markus K. & Pedersen, Lasse Heje, 2007. "Market liquidity and funding liquidity," LSE Research Online Documents on Economics 24478, London School of Economics and Political Science, LSE Library.
- Markus K. Brunnermeier & Lasse Heje Pedersen, 2007. "Market Liquidity and Funding Liquidity," NBER Working Papers 12939, National Bureau of Economic Research, Inc.
- Kocherlakota, Narayana R., 1992.
"Bubbles and constraints on debt accumulation,"
Journal of Economic Theory,
Elsevier, vol. 57(1), pages 245-256.
- Kocherlakota, N.R., 1990. "Bubbles and Constraints on Debt Accumulation," Working Papers 90-29, University of Iowa, Department of Economics.
- Gromb, Denis & Vayanos, Dimitri, 2002.
"Equilibrium and welfare in markets with financially constrained arbitrageurs,"
Journal of Financial Economics,
Elsevier, vol. 66(2-3), pages 361-407.
- Gromb, Denis & Vayanos, Dimitri, 2001. "Equilibrium and Welfare in Markets with Financially Constrained Arbitrageurs," CEPR Discussion Papers 3049, C.E.P.R. Discussion Papers.
- Gromb, Denis & Vayanos, Dimitri, 2002. "Equilibrium and welfare in markets with financially constrained arbitrageurs," LSE Research Online Documents on Economics 448, London School of Economics and Political Science, LSE Library.
- Coen-Pirani, Daniele, 2005.
"Margin requirements and equilibrium asset prices,"
Journal of Monetary Economics,
Elsevier, vol. 52(2), pages 449-475, March.
- Daniele Coen-Pirani, 2000. "Margin Requirements and Equilibrium Asset Prices," GSIA Working Papers 2001-E5, Carnegie Mellon University, Tepper School of Business.
- Nicolae Gârleanu & Lasse Heje Pedersen, 2011.
"Margin-based Asset Pricing and Deviations from the Law of One Price,"
Review of Financial Studies,
Society for Financial Studies, vol. 24(6), pages 1980-2022.
- Nicolae Gârleanu & Lasse Heje Pedersen, 2011. "Margin-Based Asset Pricing and Deviations from the Law of One Price," NBER Working Papers 16777, National Bureau of Economic Research, Inc.
- Robert J. Barro, 2009.
"Rare Disasters, Asset Prices, and Welfare Costs,"
American Economic Review,
American Economic Association, vol. 99(1), pages 243-264, March.
- Robert J. Barro, 2007. "Rare Disasters, Asset Prices, and Welfare Costs," NBER Working Papers 13690, National Bureau of Economic Research, Inc.
- Epstein, Larry G & Zin, Stanley E, 1989. "Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework," Econometrica, Econometric Society, vol. 57(4), pages 937-969, July.
- Detemple, Jerome & Murthy, Shashidhar, 1997. "Equilibrium Asset Prices and No-Arbitrage with Portfolio Constraints," Review of Financial Studies, Society for Financial Studies, vol. 10(4), pages 1133-1174.
- Felix Kubler & Karl Schmedders, 2003.
"Stationary Equilibria in Asset-Pricing Models with Incomplete Markets and Collateral,"
Econometrica,
Econometric Society, vol. 71(6), pages 1767-1793, November.
- Felix Kubler & Karl Schmedders, 2001. "Stationary Equilibria in Asset-Pricing Models with Incomplete Markets and Collateral," Discussion Papers 1319, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Lettau, Martin & Uhlig, Harald, 2002. "The Sharpe Ratio And Preferences: A Parametric Approach," Macroeconomic Dynamics, Cambridge University Press, vol. 6(02), pages 242-265, April.
Citations
Blog mentions
As found by EconAcademics.org, the blog aggregator for Economics research:- Collateral requirements and asset prices
by Christian Zimmermann in NEP-DGE blog on 2013-12-10 09:43:45
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Denis Gromb & Dimitri Vayanos, 2015.
"The Dynamics of Financially Constrained Arbitrage,"
NBER Working Papers
20968, National Bureau of Economic Research, Inc.
- Gromb, Denis & Vayanos, Dimitri, 2015. "The dynamics of financially constrained arbitrage," LSE Research Online Documents on Economics 62007, London School of Economics and Political Science, LSE Library.
- Gromb, Denis & Vayanos, Dimitri, 2015. "The Dynamics of Financially Constrained Arbitrage," CEPR Discussion Papers 10436, C.E.P.R. Discussion Papers.
- Granziera, Eleonora & Kozicki, Sharon, 2015.
"House price dynamics: Fundamentals and expectations,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 60(C), pages 152-165.
- Eleonora Granziera & Sharon Kozocki, 2012. "House Price Dynamics: Fundamentals and Expectations," Staff Working Papers 12-12, Bank of Canada.
- Brumm, Johannes & Grill, Michael & Kubler, Felix & Schmedders, Karl, 2015.
"Margin regulation and volatility,"
Journal of Monetary Economics,
Elsevier, vol. 75(C), pages 54-68.
- Brumm, Johannes & Kubler, Felix & Grill, Michael & Schmedders, Karl, 2014. "Margin regulation and volatility," Working Paper Series 1698, European Central Bank.
- Michael Grill & Karl Schmedders & Felix Kubler & Johannes Brumm, 2017.
"Re-use of Collateral: Leverage, Volatility, and Welfare,"
2017 Meeting Papers
697, Society for Economic Dynamics.
- Johannes Brumm & Michael Grill & Felix Kubler & Karl Schmedders, 2017. "Re-Use of Collateral: Leverage, Volatility, and Welfare," Swiss Finance Institute Research Paper Series 17-04, Swiss Finance Institute.
- Chabakauri, Georgy & Rytchkov, Oleg, 2014. "Asset pricing with index investing," LSE Research Online Documents on Economics 60739, London School of Economics and Political Science, LSE Library.
- Gersbach, Hans & Rochet, Jean-Charles & Scheffel, Martin, 2018. "Financial Intermediation, Capital Accumulation and Crisis Recovery," IDEI Working Papers 881, Institut d'Économie Industrielle (IDEI), Toulouse.
- Dan Vu Cao, 2010.
"Collateral Shortages, Asset Price And Investment Volatility With Heterogeneous Beliefs,"
2010 Meeting Papers
1233, Society for Economic Dynamics.
- Dan Cao, 2011. "Collateral Shortages, Asset Price and Investment Volatility with Heterogeneous Beliefs," Working Papers gueconwpa~11-11-01, Georgetown University, Department of Economics.
- Winfried Koeniger & Thomas Hintermaier, 2012. "Collateral constraints and macroeconomic volatility," 2012 Meeting Papers 390, Society for Economic Dynamics.
More about this item
Keywords
collateral constraints; collateral premium; endogenous margins; heterogeneous agents; leverage;JEL classification:
- D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ALL-2013-11-29 (All new papers)
- NEP-DGE-2013-11-29 (Dynamic General Equilibrium)
Statistics
Access and download statisticsCorrections
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:zbw:bubdps:442013. 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: (ZBW - German National Library of Economics). General contact details of provider: http://edirc.repec.org/data/dbbgvde.html .
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.
If CitEc recognized a reference but did not link an item in RePEc to it, you can help with 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.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.