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UID:a348dad982feb8986371ce121e71aa91
CATEGORIES:Seminars
CREATED:20190114T125141
SUMMARY:Lunch Seminar: Liyan Shi - EIEF
DESCRIPTION;ENCODING=QUOTED-PRINTABLE:\n\nRepo Contracts and Collateral Pooling\nAbstract:\nWe study the optimali
 ty of repurchase agreement (repo) contracts in a competitive asset market w
 ith agents facing liquidity need and adverse selection in asset quality. We
  show that, in the unique equilibrium, a single repo contract pools all ass
 ets together as collateral and features default. The repo contract differs 
 from asset-sale contracts by embedding a repurchase option, hence mitigatin
 g adverse selection and providing higher liquidity. The equilibrium is cons
 trained efficient and achieves maximum liquidity. Two applications are show
 n where the liquidity need is due to investment and consumption smoothing r
 espectively.\n
DTSTAMP:20260405T192611Z
DTSTART:20190327T130000Z
DTEND:20190327T140000Z
SEQUENCE:0
TRANSP:OPAQUE
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