's capital shortfall in the crisis as the expected loss on deposits under stress. We calibrate the model on the U.S. economy and … banks. In a financial downturn, as the value of collateral decreases, the merchant bank must sell assets on short notice …, reinforcing the crisis, and default if their cash buffer is insufficient. The deposit bank suffers from loss because of the …

rates. Borrowers select a single contract from the menu, whereas lenders take the choice as given. Binding collateral …

Researchers' attempts to identify the valuation of collateral has been hampered by data limitations. We overcome this … different types of collateral. We find that securing a loan reduces borrowing costs for firms by 17 basis points. The price … effect varies across different types of collateral, with marketable securities and real estate being the most valuable types …

I construct an infinite-horizon dynamic stochastic general equilibrium model with a collateral constraint and actual … taking into account the non-linear payoffs of the collateralized debt contracts and the scarcity of collateral, borrowers and … the senior tranche to the price of the junior tranche of collateral. Therefore, leverage is pro-cyclical if there is more …

) and a specification of the amount of collateral per dollar of lending. The latter is summarized by the margin or "haircut …" associated with the loan. Some key models of endogenous collateral constraints imply that the primary equilibrating force will be … a two-state world, implies that haircuts will adjust to render all lending riskless, and that a loss of risk capital on …

of the financial crisis in 2008. Such collateralized debt markets have both collateral price channel and counterparty …-diversification. I use this framework to show that the loss coverage by a central counterparty (CCP) exacerbates the externality problem …