126 records from EconBiz based on author Name

1. Leverage and Asset Prices : An Experiment

abstract

We develop a model of leverage that is amenable to laboratory implementation and gather experimental data. We compare two identical economies: in one economy, agents cannot borrow; in the other, they can leverage a risky asset to issue debt. Leverage increases asset prices in the laboratory. This increase is significant and quantitatively close to what theory predicts. Moreover, also as theory suggests, leverage allows gains from trade to be realized in the laboratory. Finally, the mechanism generating the price increase in the lab is due to the asset role as collateral, and different from what we would observe with a simple credit line or bigger cash endowments

Cipriani, Marco; Fostel, Ana; Houser, Daniel;
2020
Availability: Link Link
Citations: 1 (based on OpenCitations) Cited By

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2. Leverage and asset prices : an experiment

Cipriani, Marco; Fostel, Ana; Houser, Daniel;
2020
Type: Graue Literatur; Non-commercial literature; Arbeitspapier; Working Paper;
Availability: Link

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3. Global collateral and capital flows

Fostel, Ana; Geanakoplos, John; Phelan, Gregory;
2019
Type: Graue Literatur; Non-commercial literature; Arbeitspapier; Working Paper;
Availability: Link

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4. Global collateral and capital flows

Fostel, Ana; Geanakoplos, John; Phelan, Gregory;
2019
Type: Graue Literatur; Non-commercial literature; Arbeitspapier; Working Paper;
Availability: Link

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5. Global collateral and capital flows

Fostel, Ana; Geanakoplos, John; Phelan, Gregory;
2019
Type: Graue Literatur; Non-commercial literature; Arbeitspapier; Working Paper;
Availability:

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6. Global Collateral and Capital Flows

abstract

Cross-border financial flows arise when (otherwise identical) countries differ in their abilities to use assets as collateral to back financial contracts. Financially integrated countries have access to the same set of financial instruments, and yet there is no price convergence of assets with identical payoffs, due to a gap in collateral values. Home (financially advanced) runs a current account deficit. Financial flows amplify asset price volatility in both countries, and gross flows driven by collateral differences collapse following bad news about fundamentals. Our results can explain financial flows among rich, similarly-developed countries, and why these flows increase volatility

Fostel, Ana; Geanakoplos, John; Phelan, Gregory;
2019
Availability: Link Link
Citations: 4 (based on OpenCitations) Cited By

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7. Endogenous leverage and default in the laboratory

Cipriani, Marco; Fostel, Ana; Houser, Daniel;
2019
Type: Graue Literatur; Non-commercial literature; Arbeitspapier; Working Paper;
Availability: Link

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8. Endogenous leverage and default in the laboratory

abstract

We study default and endogenous leverage in the laboratory. To this purpose, we develop a general equilibrium model of collateralized borrowing amenable to laboratory implementation and gather experimental data. In the model, leverage is endogenous: agents choose how much to borrow using a risky asset as collateral, and there are no ad hoc collateral constraints. When the risky asset is financial-namely, its payoff does not depend on ownership (such as a bond)- collateral requirements are high and there is no default. In contrast, when the risky asset is nonfinancial-namely, its payoff depends on ownership (such as a firm)-collateral requirements are lower and default occurs. The experimental outcomes are in line with the theory's main predictions. The type of collateral, whether financial or not, matters. Default rates and loss from default are higher when the risky asset is nonfinancial, stemming from laxer collateral requirements. Default rates and collateral requirements move closer to the theoretical predictions as the experiment progresses.

Cipriani, Marco; Fostel, Ana; Houser, Daniel;
2019
Type: Graue Literatur; Non-commercial literature; Arbeitspapier; Working Paper;
Availability: Link Link

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9. Endogenous Leverage and Default in the Laboratory

abstract

We study default and endogenous leverage in the laboratory. To this purpose, we develop a general equilibrium model of collateralized borrowing amenable to laboratory implementation and gather experimental data. In the model, leverage is endogenous: agents choose how much to borrow using a risky asset as collateral, and there are no ad-hoc collateral constraints. When the risky asset is financial, namely, its payoff does not depend on ownership (such as a bonds), collateral requirements are high and there is no default. In contrast, when the risky asset is non-financial, namely, its payoff depends on ownership (such as a firm), collateral requirements are lower and default occurs. The experimental outcomes are in line with the theory's main predictions. The type of collateral, whether financial or not, matters. Default rates and loss from default are higher when the risky asset is non-financial, stemming from laxer collateral requirements. Default rates and collateral requirements are closer to the theoretical predictions as the experiment progresses

Cipriani, Marco; Fostel, Ana; Houser, Daniel;
2019
Availability: Link Link
Citations: 1 (based on OpenCitations) Cited By

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10. Endogenous Leverage and Default in the Laboratory

abstract

We study default and endogenous leverage in the laboratory. To this purpose, we develop a general equilibrium model of collateralized borrowing amenable to laboratory implementation and gather experimental data. In the model, leverage is endogenous: agents choose how much to borrow using a risky asset as collateral, and there are no ad-hoc collateral constraints. When the risky asset is financial, namely, its payoff does not depend on ownership (such as a bonds), collateral requirements are high and there is no default. In contrast, when the risky asset is non-financial, namely, its payoff depends on ownership (such as a firm), collateral requirements are lower and default occurs. The experimental outcomes are in line with the theory's main predictions. The type of collateral, whether financial or not, matters. Default rates and loss from default are higher when the risky asset is non-financial, stemming from laxer collateral requirements. Default rates and collateral requirements are closer to the theoretical predictions as the experiment progresses

Cipriani, Marco; Fostel, Ana; Houser, Daniel;
2022
Availability: Link

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