Security design in non-exclusive markets with asymmetric information
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- dc.contributor.author Asriyan, Vladimir
- dc.contributor.author Vanasco, Victoria
- dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa
- dc.date.accessioned 2024-11-14T10:10:14Z
- dc.date.available 2024-11-14T10:10:14Z
- dc.date.issued 2019-11-01
- dc.date.modified 2024-11-14T10:07:02Z
- dc.description.abstract We study the problem of a seller (e.g. a bank) who is privately informed about the quality of her asset and needs to raise funds from uninformed buyers (e.g. investors) by issuing securities backed by her asset cash ows. In our setting, buyers post menus of contracts to screen the seller, but the seller cannot commit to trade with only one buyer, i.e., markets are non-exclusive. Non-exclusive markets behave very dierently from exclusive ones: (i) separating contracts are never part of equilibrium; (ii) mispricing of claims is always larger than in exclusive markets; (iii) there is always a semi-pooling equilibrium where all sellers issue the same debt contract priced at average-valuation, and sellers of low-quality assets issue remaining cash ows at low-valuation; (iv) market liquidity can be higher or lower than in exclusive markets, but (v) the average quality of originated assets is always lower. Our model's predictions are consistent with empirical evidence on issuance and pricing of mortgage-backed securities, and we use the theory to evaluate recent reforms aimed at enhancing transparency and exclusivity in markets.
- dc.format.mimetype application/pdf*
- dc.identifier https://econ-papers.upf.edu/ca/paper.php?id=1712
- dc.identifier.citation Review of Economic Studies (2024) 91, 690–719
- dc.identifier.uri http://hdl.handle.net/10230/44795
- dc.language.iso eng
- dc.relation.ispartofseries Economics and Business Working Papers Series; 1712
- dc.rights L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
- dc.rights.accessRights info:eu-repo/semantics/openAccess
- dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
- dc.subject.keyword adverse slection
- dc.subject.keyword security design
- dc.subject.keyword non-exclusivity
- dc.subject.keyword tranching
- dc.subject.keyword liquidity
- dc.subject.keyword securitization
- dc.subject.keyword transparency
- dc.subject.keyword opacity
- dc.subject.keyword complexity
- dc.subject.keyword market design
- dc.subject.keyword regulation
- dc.subject.keyword Macroeconomics and International Economics
- dc.title Security design in non-exclusive markets with asymmetric information
- dc.title.alternative
- dc.type info:eu-repo/semantics/workingPaper