文章基本信息

标题：Collateral amplification under complete markets
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作者：Kalin Nikolov
期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2014
出版社：European Central Bank
摘要：This paper examines the robustness of the Kiyotaki-Moore collateral amplication mech-anism to the existence of complete markets for aggregate risk. We show that, when borrow-ers can hedge against aggregate shocks at fair prices, the volatility of endogenous variablesbecomes identical to the rst best in the absence of credit constraints. The collateral ampli-cation mechanism disappears.To motivate the limited use of contingent contracts, we introduce costs of issuing con-tingent debt and calibrate them to match the liquidity and safety premia the data. We ndthat realistic costs of state contingent market participation can rationalize the predominantuse of uncontingent debt. Amplication is restored in such an environment.
关键词：Collateral constraints; Amplication.