My da|ra Login

Detailed view

metadata language: English

Replication data for: Financial Innovation, Collateral, and Investment

Version
1
Resource Type
Dataset
Creator
  • Fostel, Ana
  • Geanakoplos, John
Publication Date
2016-01-01
Description
  • Abstract

    Financial innovations that change how promises are collateralized affect prices and investment, even in the absence of any change in fundamentals. In C-models, the ability to leverage an asset always generates overinvestment compared to Arrow-Debreu. Credit Default Swaps always leads to underinvestment with respect to Arrow-Debreu, and in some cases even robustly destroy competitive equilibrium. The need for collateral would seem to cause underinvestment. Our analysis illustrates a countervailing force: goods that serve as collateral yield additional services and can therefore be over-valued and over-produced. In models without cash flow problems there is never marginal underinvestment on collateral. (JEL D52, D86, D92, E44, G01, G12, R31)
Availability
Download
Relations
  • Is supplement to
    DOI: 10.1257/mac.20130183 (Text)
Publications
  • Fostel, Ana, and John Geanakoplos. “Financial Innovation, Collateral, and Investment.” American Economic Journal: Macroeconomics 8, no. 1 (January 2016): 242–84. https://doi.org/10.1257/mac.20130183.
    • ID: 10.1257/mac.20130183 (DOI)

Update Metadata: 2020-05-18 | Issue Number: 2 | Registration Date: 2019-12-07

Fostel, Ana; Geanakoplos, John (2016): Replication data for: Financial Innovation, Collateral, and Investment. Version: 1. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/E116395V1