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VERSION:2.0
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CALSCALE:GREGORIAN
METHOD:PUBLISH
BEGIN:VEVENT
UID:a348dad982feb8986371ce121e71aa91
CATEGORIES:Seminars
CREATED:20190114T125141
SUMMARY:Lunch Seminar: Liyan Shi - EIEF
DESCRIPTION;ENCODING=QUOTED-PRINTABLE:<p><strong><span style="font-size: 11pt; font-family: 'Calibri','sans-serif
 ';">Repo Contracts and Collateral Pooling</span></strong></p><p style="marg
 in-top: 0cm; margin-right: 0cm; margin-bottom: 0.0001pt; text-align: justif
 y;"><span><span style="font-size: 11pt; font-family: 'Calibri','sans-serif'
 ;">Abstract:</span></span></p><p style="margin-top: 0cm; margin-right: 0cm;
  margin-bottom: 0.0001pt; text-align: justify;"><span style="font-size: 11p
 t; font-family: 'Calibri','sans-serif';">We study the optimality of repurch
 ase agreement (repo) contracts in a competitive asset market with agents fa
 cing liquidity need and adverse selection in asset quality. We show that, i
 n the unique equilibrium, a single repo contract pools all assets together 
 as collateral and features default. The repo contract differs from asset-sa
 le contracts by embedding a repurchase option, hence mitigating adverse sel
 ection and providing higher liquidity. The equilibrium is constrained effic
 ient and achieves maximum liquidity. Two applications are shown where the l
 iquidity need is due to investment and consumption smoothing respectively.<
 /span></p>
DTSTAMP:20260405T192553Z
DTSTART:20190327T130000Z
DTEND:20190327T140000Z
SEQUENCE:0
TRANSP:OPAQUE
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