| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13192 |
| DP13192 Variation margins, fire sales, and information-constrained optimality | |
| Bruno Biais; Florian Heider; Marie Hoerova | |
| 发表日期 | 2018-09-19 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | Protection buyers use derivatives to share risk with protection sellers, whose assets are only imperfectly pledgeable because of moral hazard. To mitigate moral hazard, privately optimal derivative contracts involve variation margins. When margins are called, protection sellers must liquidate some of their own assets. We analyse, in a general-equilibrium framework, whether this leads to inefficient fire sales. If investors buying in a fire sale interim can also trade ex ante with protection buyers, equilibrium is information-constrained efficient even though not all marginal rates of substitution are equalized. Otherwise, privately optimal margin calls are inefficiently high. To address this inefficiency, public policy should facilitate ex-ante contracting among all relevant counterparties. |
| 主题 | Financial Economics |
| 关键词 | Variation margins Fire sales Pecuniary externalities Constrained efficiency Macro-prudential regulation |
| URL | https://cepr.org/publications/dp13192 |
| 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/541995 |
| 推荐引用方式 GB/T 7714 | Bruno Biais,Florian Heider,Marie Hoerova. DP13192 Variation margins, fire sales, and information-constrained optimality. 2018. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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