Understanding liquidity of asset-backed securities

• Grant number: 16/25084-0
• Support Opportunities: Scholarships in Brazil - Master
• Start date: April 01, 2017
• End date: May 31, 2018
• Field of knowledge: Applied Social Sciences - Economics - Fiscal and Monetary Policies
• Agreement: Coordination of Improvement of Higher Education Personnel (CAPES)
• Principal Investigator: Bernardo de Vasconcellos Guimaraes
• Grantee: Diego de Sousa Rodrigues
• Host Institution: Escola de Economia de São Paulo (EESP). Fundação Getúlio Vargas (FGV). São Paulo , SP, Brazil
• Associated scholarship(s): 17/06724-1 - Coordination in the use of asset-backed securities, BE.EP.MS

Abstract

The master's thesis proposed in this research project aims to investigate and understanding the liquidity of asset-backed securities. According to our view the asset-backed securities began to be widespread used in loan contracts because it was able to fulfill the role of collateral, being this possible in part because of the complex structure of these assets. The overriding contribution of our dissertation is in understanding whether it is the complexity of asset-backed securities that was able to become them very liquid or the liquidity of these assets that became them complex and opaque.In order to achieve this goal we aim to construct a theoretical framework that can capture this idea and observe how the channel between liquidity and complexity occurs. This understanding is of utmost importance, since will allow us to know correctly the mechanisms that are able to enhance the liquidity in economy, offering a guidance for us to avoid other financial crisis like the one that struck the world in 2008. Moreover, we also aim to study why the agents were coordinating in the use of mortgage-backed securities as a liquid asset instead of using less risky one. In this part of the dissertation we are going to count on the help of the Prof. Ph.D. Luis Fernando Oliveira de Araujo of Michigan State University (MSU). (AU)

Scientific publications

(References retrieved automatically from Web of Science and SciELO through information on FAPESP grants and their corresponding numbers as mentioned in the publications by the authors)

ARAUJO, LUIS; GUIMARAES, BERNARDO; RODRIGUES, DIEGO. Financial constraints and collateral crises. REVIEW OF ECONOMIC DYNAMICS, v. 38, p. 13-pg., 2020-10-01. (16/25084-0, 17/06724-1)