| Full text | |
| Author(s): |
Araujo, Luis
;
Guimaraes, Bernardo
;
Rodrigues, Diego
Total Authors: 3
|
| Document type: | Journal article |
| Source: | REVIEW OF ECONOMIC DYNAMICS; v. 38, p. 13-pg., 2020-10-01. |
| Abstract | |
Assessing the fundamental value of a wide range of asset-backed securities is costly. As a result, these assets can become information insensitive, which allows them to be used as collateral in credit transactions. In this paper, we show that while it is true that information-insensitive assets can play a liquidity role, the fact that they play this role reinforces their information insensitivity. This implies that the availability of alternative ways of financing can harm the liquidity role of assets, even if these alternatives are costly and not used in equilibrium. The reason is that such options raise the asset's sensitivity to information by increasing the relative importance of their fundamental value vis-a-vis their role as collateral. (C) 2020 Elsevier Inc. All rights reserved. (AU) | |
| FAPESP's process: | 16/25084-0 - Understanding liquidity of asset-backed securities |
| Grantee: | Diego de Sousa Rodrigues |
| Support Opportunities: | Scholarships in Brazil - Master |
| FAPESP's process: | 17/06724-1 - Coordination in the use of asset-backed securities |
| Grantee: | Diego de Sousa Rodrigues |
| Support Opportunities: | Scholarships abroad - Research Internship - Master's degree |