概要
日時：2010年9月16日(木) 17:00-18:30
講演者：鈴木司馬氏(明星大学)
タイトル：Can cross-border financial markets create endogenously good collateral in a crisis? (with Makoto SAITO and Tomoaki YAMADA)
【Abstract】
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.