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Reviewing the Leverage Cycle 回顾杠杆周期
ERN: Incomplete Markets (Topic) Pub Date : 2013-09-24 DOI: 10.2139/ssrn.2330422
A. Fostel, J. Geanakoplos
{"title":"Reviewing the Leverage Cycle","authors":"A. Fostel, J. Geanakoplos","doi":"10.2139/ssrn.2330422","DOIUrl":"https://doi.org/10.2139/ssrn.2330422","url":null,"abstract":"We review the theory of leverage developed in collateral equilibrium models with incomplete markets. We explain how leverage tends to boost asset prices, and create bubbles. We show how leverage can be endogenously determined in equilibrium, and how it depends on volatility. We describe the dynamic feedback properties of leverage, volatility, and asset prices, in what we call the Leverage Cycle. We also describe some cross-sectional implications of multiple leverage cycles, including contagion, flight to collateral, and swings in the issuance volume of the highest quality debt. We explain the differences between the leverage cycle and the credit cycle literature. Finally, we describe an agent based model of the leverage cycle in which asset prices display clustered volatility and fat tails even though all the shocks are essentially Gaussian.","PeriodicalId":123371,"journal":{"name":"ERN: Incomplete Markets (Topic)","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-09-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116933409","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 19
Consumption Taxes and Precautionary Savings 消费税和预防性储蓄
ERN: Incomplete Markets (Topic) Pub Date : 2012-11-16 DOI: 10.2139/ssrn.2492813
Alexis Anagnostopoulos, Qian Li
{"title":"Consumption Taxes and Precautionary Savings","authors":"Alexis Anagnostopoulos, Qian Li","doi":"10.2139/ssrn.2492813","DOIUrl":"https://doi.org/10.2139/ssrn.2492813","url":null,"abstract":"Financing government spending through lump sum taxes does not distort capital when markets are complete but tends to increase precautionary savings under market incompleteness. Using flat consumption taxes instead leaves precautionary savings unaffected, provided certain conditions on utility are met.","PeriodicalId":123371,"journal":{"name":"ERN: Incomplete Markets (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-11-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130829110","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 8
Detection of Arbitrage in a Market with Multi-Asset Derivatives and Known Risk-Neutral Marginals 多资产衍生品和已知风险中性边际市场中的套利检测
ERN: Incomplete Markets (Topic) Pub Date : 2012-11-06 DOI: 10.2139/ssrn.2080047
B. Tavin
{"title":"Detection of Arbitrage in a Market with Multi-Asset Derivatives and Known Risk-Neutral Marginals","authors":"B. Tavin","doi":"10.2139/ssrn.2080047","DOIUrl":"https://doi.org/10.2139/ssrn.2080047","url":null,"abstract":"In this paper we study the existence of arbitrage opportunities in a multi-asset market when risk-neutral marginal distributions of asset prices are known. We first propose an intuitive characterization of the absence of arbitrage opportunities in terms of copula functions. We then address the problem of detecting the presence of arbitrage by formalizing its resolution in two distinct ways that are both suitable for the use of optimization algorithms. The first method is valid in the general multivariate case and is based on Bernstein copulas that are dense in the set of all copula functions. The second one is easier to work with but is only valid in the bivariate case. It relies on results about improved Frechet–Hoeffding bounds in presence of additional information. For both methods, details of implementation steps and empirical applications are provided.","PeriodicalId":123371,"journal":{"name":"ERN: Incomplete Markets (Topic)","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-11-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126510900","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 16
Collateral, Default Penalties and Infinite Horizon Equilibrium 抵押品、违约惩罚与无限视界均衡
ERN: Incomplete Markets (Topic) Pub Date : 2012-03-09 DOI: 10.2139/ssrn.2103526
M. Páscoa, A. Seghir
{"title":"Collateral, Default Penalties and Infinite Horizon Equilibrium","authors":"M. Páscoa, A. Seghir","doi":"10.2139/ssrn.2103526","DOIUrl":"https://doi.org/10.2139/ssrn.2103526","url":null,"abstract":"P\u0013ascoa and Seghir (2009) noticed that when collateralized promises become subject to utility penalties on default, Ponzi schemes may occur. However, equilibrium exists in some interesting cases. Under low penalties, equilibrium exists if the collateral does not yield utility (for example, when it is a productive asset or a security). Equilibrium exists also under more severe penalties and collateral utility gains, when the promise or the collateral are nominal assets and the margin requirements are endogenous: relative inflation rates and margin coeffi\u000ecients can make the income effects dominate the penalty effects. An equilibrium refinement avoids no-trade equilibria with unduly repayment beliefs. Our refinement differs from the one used by Dubey, Geanakoplos and Shubik (2005) as it does not eliminate no trade equilibria whose low delivery rates are consistent with the propensity to default of agents that are on the verge of selling.","PeriodicalId":123371,"journal":{"name":"ERN: Incomplete Markets (Topic)","volume":"40 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-03-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133350356","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Recent Developments in Options Theory: From Black-Scholes to Market Models 期权理论的最新发展：从布莱克-斯科尔斯到市场模型
ERN: Incomplete Markets (Topic) Pub Date : 2012-02-24 DOI: 10.2139/ssrn.2010482
L. Kermiche
{"title":"Recent Developments in Options Theory: From Black-Scholes to Market Models","authors":"L. Kermiche","doi":"10.2139/ssrn.2010482","DOIUrl":"https://doi.org/10.2139/ssrn.2010482","url":null,"abstract":"Since the seminal Black-Scholes model was introduced in the 1970s, researchers and practitioners have been continuously developing new models to enhance the original. All these models aim to ease one or more of the Black-Scholes assumptions, but this often results in a set of equations that is difficult if not impossible to use in practice. Nevertheless, in the wake of the financial crisis, an understanding of the various pricing models is essential to calm investors’ nerves. This paper reviews the models developed since Black-Scholes, giving the advantages and disadvantages of each type. It focuses on the two main variables for which Black-Scholes gives results that differ widely from market data: implied volatility and risk-neutral density. These variables also form the basis for the development of a new type of models, called “market models”.","PeriodicalId":123371,"journal":{"name":"ERN: Incomplete Markets (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-02-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130983432","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Increases in Risk Aversion and the Distribution of Portfolio Payoffs 风险厌恶的增加和投资组合收益的分配
ERN: Incomplete Markets (Topic) Pub Date : 2011-08-19 DOI: 10.2139/ssrn.1521614
Philip H. Dybvig, Yajun Wang
{"title":"Increases in Risk Aversion and the Distribution of Portfolio Payoffs","authors":"Philip H. Dybvig, Yajun Wang","doi":"10.2139/ssrn.1521614","DOIUrl":"https://doi.org/10.2139/ssrn.1521614","url":null,"abstract":"Oliver Hart proved the impossibility of deriving general comparative static properties in portfolio weights. Instead, we derive new comparative statics for the distribution of payoffs: A is less risk averse than B iff Aʼs payoff is always distributed as Bʼs payoff plus a non-negative random variable plus conditional-mean-zero noise. If either agent has nonincreasing absolute risk aversion, the non-negative part can be chosen to be constant. The main result also holds in some incomplete markets with two assets or two-fund separation, and in multiple periods for a mixture of payoff distributions over time (but not at every point in time).","PeriodicalId":123371,"journal":{"name":"ERN: Incomplete Markets (Topic)","volume":"154 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-08-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134407037","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 12
Illiquidity and Under-Valuation of Firms 企业流动性不足和估值偏低
ERN: Incomplete Markets (Topic) Pub Date : 2009-12-01 DOI: 10.2139/ssrn.1303524
Douglas Gale, P. Gottardi
{"title":"Illiquidity and Under-Valuation of Firms","authors":"Douglas Gale, P. Gottardi","doi":"10.2139/ssrn.1303524","DOIUrl":"https://doi.org/10.2139/ssrn.1303524","url":null,"abstract":"We study a competitive model in which debt-financed firms may default in some states of nature. Incomplete markets prevent firms from hedging the risk of asset firesales when markets are illiquid. This is the only friction in the model and the only cost of default. The anticipation of such losses alone may distort firms' investment decisions. We characterize the conditions under which competitive equilibria are inefficient and the form the inefficiency takes. We also show that endogenous financial crises may arise as a result of pure sunspot events. Finally, we examine alternative interventions to restore the efficiency of equilibria.","PeriodicalId":123371,"journal":{"name":"ERN: Incomplete Markets (Topic)","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123706588","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 47
Cooperation under Incomplete Contracting 不完全承包合作
ERN: Incomplete Markets (Topic) Pub Date : 2009-07-28 DOI: 10.2139/ssrn.1440096
H. Habis, P. Herings
{"title":"Cooperation under Incomplete Contracting","authors":"H. Habis, P. Herings","doi":"10.2139/ssrn.1440096","DOIUrl":"https://doi.org/10.2139/ssrn.1440096","url":null,"abstract":"We examine the notion of the core when cooperation takes place in a setting with time and uncertainty. We do so in a two-period general equilibrium setting with incomplete markets. Market incompleteness implies that players cannot make all possible binding commitments regarding their actions at different date-events. We unify various treatments of dynamic core concepts existing in the literature. This results in definitions of the Classical Core, the Segregated Core, the Two-stage Core, the Strong Sequential Core, and the Weak Sequential Core. Except for the Classical Core, all these concepts can be defined by requiring absence of blocking in period 0 and at any date-event in period 1. The concepts only differ with respect to the notion of blocking in period 0. To evaluate these concepts, we study three market structures in detail: strongly complete markets, incomplete markets in finance economies, and incomplete markets in settings with multiple commodities.","PeriodicalId":123371,"journal":{"name":"ERN: Incomplete Markets (Topic)","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-07-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131552551","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Demand Estimation Under Incomplete Product Availability 不完全产品可用性下的需求估计
ERN: Incomplete Markets (Topic) Pub Date : 2008-09-01 DOI: 10.2139/ssrn.1394476
Christopher T. Conlon, J. Mortimer
{"title":"Demand Estimation Under Incomplete Product Availability","authors":"Christopher T. Conlon, J. Mortimer","doi":"10.2139/ssrn.1394476","DOIUrl":"https://doi.org/10.2139/ssrn.1394476","url":null,"abstract":"Incomplete product availability is an important feature of many markets; ignoring changes in availability may bias demand estimates. We study a new dataset from a wireless inventory system installed on 54 vending machines to track product availability every four hours. The data allow us to account for product availability when estimating demand, and provides a valuable source of variation for identifying substitution patterns. We develop a procedure that allows for changes in product availability even when availability is only observed periodically. We find significant differences in demand estimates, with the corrected model predicting significantly larger impacts of stock-outs on profitability.","PeriodicalId":123371,"journal":{"name":"ERN: Incomplete Markets (Topic)","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122147677","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 173
Asset Pricing for Idiosyncratically Incomplete Markets 特殊不完全市场的资产定价
ERN: Incomplete Markets (Topic) Pub Date : 2006-11-09 DOI: 10.2139/ssrn.912788
S. Malamud, E. Trubowitz
{"title":"Asset Pricing for Idiosyncratically Incomplete Markets","authors":"S. Malamud, E. Trubowitz","doi":"10.2139/ssrn.912788","DOIUrl":"https://doi.org/10.2139/ssrn.912788","url":null,"abstract":"We present a rigorous analysis of idiosyncratically incomplete markets with heterogeneous agents. Our model is an extension of the classic Constantinides and Duffie (1996) that, among other important differences, allows for trade. We rigorously expand asset returns in the idiosyncratic risk and heterogeneity and then extract important economic information from the coefficients. In particular, we give a rational factor analysis of idiosyncratic risk. We calculate the response of some thirteen well known stylized facts to both idiosyncratic risk and heterogeneity. Of particular interest, we identify an explicit mechanism through which the growth rate of idiosyncratic risk increases equity returns and their volatility, but, (in stark contrast to models without trade) at the same time, leaves risk free rates virtually unchanged. Among other results, we find (to our own surprise) that the equity premium increases relative to the background complete market when the idiosyncratic risk process is (contradicting the conventional wisdom) procyclical and its growth rate is above an explicit threshold. We also show that countercyclicity of the idiosyncratic risk process forces term premia to be negative, contrary to empirical data, and also forces countercyclicity of price dividend ratios, again, contrary to empirical data.","PeriodicalId":123371,"journal":{"name":"ERN: Incomplete Markets (Topic)","volume":"146 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2006-11-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121981374","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 6
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