We study the relationship between homebuyers' beliefs about future house price changes
and their mortgage leverage choices. Whether more pessimistic homebuyers choose higher …

Recent advances on uniqueness of competitive equilibrium - ScienceDirect Skip to main
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We develop a model in which financially constrained arbitrageurs exploit price
discrepancies across segmented markets. We show that the dynamics of arbitrage capital …

This paper studies how a financial system that is organized to efficiently create safe assets
responds to macroeconomic shocks. Financial intermediaries face a cost of bearing risk, so …

We show that repurchase agreements (repos) arise as the instrument of choice to borrow in
a competitive model with limited commitment. The repo contract traded in equilibrium …

This paper characterizes the transition dynamics of a continuous-time neoclassical
production economy with capital accumulation in which households face idiosyncratic …

This paper introduces collateral rehypothecation, a widespread practice in derivatives,
swaps, and repo markets, in a general equilibrium model with default. Rehypothecation …

This paper examines the optimal financing and investment decisions problem of a firm that is
constrained by an upper limit of debt issuance based on liquidation (collateral) value. Our …

Incentive problems make securities' payoffs imperfectly pledgeable, limiting agents' ability to
issue liabilities. We analyze the equilibrium consequences of such endogenous …

In this paper we study the neoclassical growth model with idiosyncratic income risk and
aggregate risk in which risk sharing is endogenously constrained by one-sided limited …