Geanakoplos geanakoplos 1997 2003 2010 instead

Info iconThis preview shows page 1. Sign up to view the full content.

View Full Document Right Arrow Icon
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: can be borrowed using that asset as collateral is among the defining characteristics of the asset. Geanakoplos Geanakoplos (1997, 2003, 2010) instead proposes a theory in which margin requirements are endogenously determined in competitive markets. Under Under these types of theories, the capital of intermediaries becomes a crucial determinant of the supply of intermediation. For a given quantity of capital, the 5 This is one of two relatively reduced-form models of endogenous credit spreads considered in the monetary dynamic stochastic general equilibrium model we present in Cúrdia and Woodford (2009). The device of a “loan production function” is also used in Goodfriend and McCallum (2007) and in Gerali, Neri, Sessa, and Signoretti (2010). 6 The “value-at-risk constraint” assumed by authors such as Zigrand, Shin, and Danielsson (2010), Adrian, Moench, and Shin (2010b), and Adrian and Shin (forthcoming b) is an example of a constraint of this form. Beaudry and Lahiri (2010) impose a similar constraint by simply assuming that intermediaries can sell only riskless debt. The constraint assumed by Adrian and Shin (forthcoming b) is formally equivalent to the one assumed by B...
View Full Document

This note was uploaded on 11/23/2013 for the course ECON 11837649 taught by Professor Batchelder during the Spring '10 term at Pepperdine.

Ask a homework question - tutors are online