ヤマダ トモアキ   Yamada Tomoaki
  山田 知明
   所属   明治大学  商学部
   職種   専任教授
言語種別 英語
発行・発表の年月 2010/10
形態種別 その他
標題 Can Cross-Border Financial Markets Create Good Collateral in Crisis?
執筆形態 共著(筆頭者以外)
掲載誌名 IMES Discussion Paper Series
巻・号・頁 E-19,pp.1-32
著者・共著者 Makoto Saito, Shiba Suzuki
概要 In this paper, we explore whether markets can create endogenously good collateral in a crisis by analyzing a simple exchange economy where a country-specific catastrophic shock is shared between two countries. To see this possibility, we examine whether the equilibrium achieved by the time-0 complete markets with solvency constraints can be recovered in the dynamically complete markets with collateral constraints. This paper demonstrates that it is possible to recover the time-0 equilibrium outcome in a sequential manner when pricing errors occur randomly in evaluating Lucas trees at a catastrophic event. Such stochastic components may be interpreted as a policy initiative to create good collateral and yield constrained efficient outcomes at crisis periods.