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Debt maturity without commitment
Niepelt, Dirk - 2008
I analyze how lack of commitment affects the maturity structure of sovereign debt. Governments balance benefits of …-term debt affects default and rollover decisions by subsequent policy makers. The equilibrium maturity structure is shaped by … maturity structure with positive gross positions and a shortening of the maturity structure when debt issuance is high, output …
Persistent link: https://www.econbiz.de/10003803574
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Credit risk in general equilibrium
Eichberger, Jürgen; Rheinberger, Klaus; Summer, Martin - 2014
This paper contributes to the literature on default in general equilibrium. Borrowing and lending takes place via a clearing house (bank) which monitors agents and enforces contracts. Our model develops a concept of bankruptcy equilibrium that is a direct generalization of the standard general...
Persistent link: https://www.econbiz.de/10010235825
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Optimal risk-sharing in mortgage contracts : the effects of potential prepayment and default
Brueckner, Jan K.; Lee, Kangoh - 2014
Much of the literature on the economics of mortgage markets has studied the FRM-ARM choice made by individual borrowers. However, to decide if the outcome of such a choice is efficient or approximately so, it is necessary to explore the question of optimal risk-sharing in mortgage contracts. But...
Persistent link: https://www.econbiz.de/10010412302
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A welfare analysis on start-up decisions under default risk
Comincioli, Nicola; Panteghini, Paolo; Vergalli, Sergio - 2021
This short article studies the tax effects on a start-up investment decision under uncertainty. Since the representative firm can decide both when to invest and how much to borrow, the distortive effects are twofold. We thus show that the deadweight loss (namely, the ratio between the welfare...
Persistent link: https://www.econbiz.de/10012698792
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Business tax policy under default risk
Comincioli, Nicola; Vergalli, Sergio; Panteghini, Paolo - 2019
In this article we use a stochastic model with one representative firm to study business tax policy under default risk. We will show that, for a given tax rate, the government has an incentive to reduce (increase) financial instability and default costs if its objective function is welfare (tax...
Persistent link: https://www.econbiz.de/10012024508
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How do banks and households manage interest rate risk? : evidence from the Swiss mortgage market
Basten, Christoph; Guin, Benjamin; Koch, Cathérine - 2017
We exploit a unique data set that features both un-intermediated mortgage requests and independent offers from multiple banks for each request. We show that households typically are not prudent risk managers but prioritize the minimization of current mortgage payments over the risk of possible...
Persistent link: https://www.econbiz.de/10011721608
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The economic consequences of rising US government debt: privileges at risk
Bohn, Henning - 2010
maturity of U.S. public debt - over $2.5 trillion maturing in 2010 - investor expectations are critical. Excessive debts …
Persistent link: https://www.econbiz.de/10003974641
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Asset pricing with uncertain betas : a long-term perspective
Gollier, Christian - 2013
How should one evaluate investment projects whose CCAPM betas are uncertain? This question is particularly crucial for projects yielding long-lasting impacts on the economy, as is the case for example for many green investments. We define the notion of a certainty equivalent beta. We show that...
Persistent link: https://www.econbiz.de/10009691703
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International credit flows and pecuniary externalities
Brunnermeier, Markus Konrad; Sannikov, Yuliy - 2015
This paper develops a dynamic two-country neoclassical stochastic growth model with incomplete markets. Short-term credit flows can be excessive and reverse suddenly. The equilibrium outcome is constrained inefficient due to pecuniary externalities. First, an undercapitalized country borrows too...
Persistent link: https://www.econbiz.de/10010474855
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Does debt maturity matter for investment decisions?
Nam, Chang-woon; Radulescu, Doina - 2004
In the conventional literature related to investment decisions, less attention has been paid to the length of maturity … cost at the end of the borrowing period. In this study, the effects of selecting different maturity years on firms … suggest that (1) ceteris paribus an optimum maturity year appears to exist that maximises the NVP, and (2) the change of …
Persistent link: https://www.econbiz.de/10011402695