| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP7144 |
| DP7144 Is the WTO's Article XXIV Bad? | |
| David Vines; Ben Zissimos; Monika Mrazova | |
| 发表日期 | 2009-01-28 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | We consider the debt capacity of a risky asset when debt is being rolled over and there is a liquidation cost in case of default. We show that debt capacity depends on how information about the quality of the asset is revealed. When the information structure is based on ?optimistic? expectations, the arrival of no news about the asset is good news; under this structure, debt capacity does not depend upon rollovers and liquidation cost, and is simply equal to expected cash flows from the asset. In contrast, when the information structure is based on ?pessimistic? expectations, no news about the asset is bad news; under this structure, debt capacity of the asset is decreasing in the liquidation cost and frequency of rollovers. In the limit, as the number of rollovers becomes unbounded, the debt capacity goes to zero even for an arbitrarily small default risk. Our model explains why markets for rollover debt, such as asset-backed commercial paper, may experience sudden freezes. The model also provides an explicit formula for the haircut in secured borrowing or repo transactions. |
| 主题 | Financial Economics |
| 关键词 | Asset-backed commercial paper Credit risk Haircut Liquidation cost Repo Secured borrowing |
| URL | https://cepr.org/publications/dp7144 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/535980 |
| 推荐引用方式 GB/T 7714 | David Vines,Ben Zissimos,Monika Mrazova. DP7144 Is the WTO's Article XXIV Bad?. 2009. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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