Contagion in debt and collateral markets

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics Pub Date : 2024-11-01 DOI:10.1016/j.jmoneco.2024.103600

引用次数: 0

Abstract

This paper investigates contagion in financial networks through collateralized debt and its effects on social welfare. Our model incorporates contagion through both counterparty debt exposures and endogenous collateral asset pricing. We find that collateral mitigates counterparty exposures and reduces social inefficiency when faced with negative shocks, but not always. We also show the importance of the interaction between the level of collateral and network structure as contagion can change dramatically depending on that interaction. The model also provides policy-relevant collateral-to-debt ratios (haircuts) to attain robust and fully insulated macroprudential states for any network and also the optimal collateral ratio to attain full insulation for a specific network.

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债务和抵押品市场的蔓延

本文研究了金融网络中通过抵押债务产生的传染及其对社会福利的影响。我们的模型包含了通过交易对手债务风险和内生抵押资产定价产生的传染。我们发现，在面临负面冲击时，抵押品可以减轻交易对手的风险敞口并降低社会低效率，但并不总是如此。我们还展示了抵押品水平与网络结构之间相互作用的重要性，因为传染会因这种相互作用而发生巨大变化。该模型还提供了与政策相关的抵押品与债务比率（扣减率），以实现任何网络的稳健和完全隔离的宏观审慎状态，以及实现特定网络完全隔离的最佳抵押品比率。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Monetary Economics Multiple-

CiteScore

7.20

自引率

4.90%

发文量

审稿时长

74 days

期刊介绍： The profession has witnessed over the past twenty years a remarkable expansion of research activities bearing on problems in the broader field of monetary economics. The strong interest in monetary analysis has been increasingly matched in recent years by the growing attention to the working and structure of financial institutions. The role of various institutional arrangements, the consequences of specific changes in banking structure and the welfare aspects of structural policies have attracted an increasing interest in the profession. There has also been a growing attention to the operation of credit markets and to various aspects in the behavior of rates of return on assets. The Journal of Monetary Economics provides a specialized forum for the publication of this research.