Liquidity constraints and collateral crises

• Ano de defesa: 2018
• Autor(a) principal: Rodrigues, Diego de Sousa
• Orientador(a): Guimarães, Bernardo de Vasconcellos
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: eng
• Palavras-chave em Português: Macroeconomia: produção; Crises financeiras; Mercados financeiros e macroeconomia; Garantia; Títulos lastreados em ativos
• Palavras-chave em Inglês: Macroeconomics: production; Financial crisis; Financial markets and the macroeconomy; Collateral; Asset-backed-securities
• Link de acesso: http://hdl.handle.net/10438/23943

Asset-backed securities were widely traded. Arguably, this happened because they were complicated claims, in the sense that it was very costly to assess their fundamental value. Here, we show that if this is the case, then the emergence of alternative ways to address liquidity needs, by undermining the liquidity role of these assets and reinforcing the relevance of their fundamental value, may increase the incentives to acquire information about them, and negatively impact the credit market. Hence, our results suggest that it is easier for these assets to accomplish the role of private money when there are fewer alternative ways to address liquidity needs.