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- W3039502785 abstract "The first model of my thesis introduces a monetary Real Business Cycle model withincomplete markets, a durable good, collateralized securities and endogenous default.We establish that equilibria are inefficient since agents underinvest due to the existenceof endogenous default. Moreover, the Pareto optimal equilibrium allocation cannot beachieved through monetary policy. Our analysis suggests the need of an additionalpolicy tool to generate optimal investment and improve equilibrium allocations. Inthe second model of my thesis, we propose an integrated tractable framework thatincorporates endogenous default in a continuous-time setting. Productive experts thatface leverage constraints and aggregate risk, borrow from households and choose topartially default subject to a penalty that decreases their objective function. Ourresults show that default increases borrowing costs, lowers expert’s capital holdings,suppresses investment and subsequently leading to a recession. We show that the pathof inflation under quantitative easing policies that target interest rates, is determinatein the presence of default. We achieve this through different payoff profiles that acollateralised defaultable bond achieves in different states of nature with distinct defaultoutcomes. In the model, heterogeneous households trade this bond and other shortermaturity risk-free bonds to maximise their intertemporal utility of consumption andlabour. The differentiated payoffs of the collateralised bond, in an equilibrium withactive default, span the full state space giving determinacy of prices and inflation as anoutcome." @default.
- W3039502785 created "2020-07-10" @default.
- W3039502785 creator A5063357064 @default.
- W3039502785 date "2020-01-01" @default.
- W3039502785 modified "2023-09-27" @default.
- W3039502785 title "Essays on financial frictions, collateral and default" @default.
- W3039502785 hasPublicationYear "2020" @default.
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