. Private assets are used as collateral and come in heterogeneous quality. Financial fragility is the probability that a large …

for all participating nations which is Pareto improving. Since collateral requirements are calculated on individual risk … capital market. We also discuss institutional issues of possible implementations. …

household exposure to idiosyncratic risk, and increases the conditional market price of risk. This collateral mechanism can …In a model with housing collateral, a decrease in house prices reduces the collateral value of housing, increases …. The increase of the conditional equity premium and Sharpe ratio when collateral is scarce in the model matches the …

In a model with housing collateral, the ratio of housing wealth to human wealth shifts the conditional distribution of … asset prices and consumption growth. A decrease in house prices reduces the collateral value of housing, increases household … exposure to idiosyncratic risk, and increases the conditional market price of risk. Using aggregate data for the US, we find …

When limited commitment hinders unsecured credit, assets help by serving as collateral. We study models where assets …-pricing theory, is calibrated to analyze the effects of monetary policy and financial innovation. We show that inflation can raise …