Foley-Fisher, Nathan
[VerfasserIn]
;
Gorton, Gary B.
[Sonstige Person, Familie und Körperschaft];
Verani, Stéphane
[Sonstige Person, Familie und Körperschaft]National Bureau of Economic Research
Adverse Selection Dynamics in Privately-Produced Safe Debt Markets
Erschienen:
Cambridge, Mass: National Bureau of Economic Research, 2020
Erschienen in:NBER working paper series ; no. w28016
Umfang:
1 Online-Ressource; illustrations (black and white)
Sprache:
Englisch
DOI:
10.3386/w28016
Identifikator:
Reproduktionsnotiz:
Hardcopy version available to institutional subscribers
Entstehung:
Anmerkungen:
System requirements: Adobe [Acrobat] Reader required for PDF files
Mode of access: World Wide Web
Beschreibung:
Privately-produced safe debt is designed so that there is no adverse selection in trade. This is because no agent finds it profitable to produce private information about the debt's backing and all agents know this (i.e., it is information-insensitive). But in some macro states, it becomes profitable for some agents to produce private information, and then the debt faces adverse selection when traded (i.e., it becomes information-sensitive). We empirically study these adverse selection dynamics in a very important asset class, collateralized loan obligations, a large symbiotic appendage of the regulated banking system, which finances loans to below investment-grade firms