Sovereign Default , Government Debt , Collateral Constraints , Delaunay Interpolation , Heterogeneous Agents , Occasionally Binding Constraints
Abstract:
This thesis consists of three self-contained chapters. Chapter two introduces a novel solution method for dynamic general equilibrium models. This solution method is tailor-made
for models where the optimization problem of agents involves inequality constraints (e.g.
borrowing or collateral constraints).
Chapter three explores the effect of collateral requirements on asset prices. We consider a
Lucas tree economy with heterogeneous agents that face collateral constraints. The methods
used to compute equilibria for this model rely on the solution method developed in
Chapter two. We obtain our main results in a setting with two assets where we show that
changes in the collateral requirement for one asset have a strong impact on the volatility
of the other asset.
Finally, Chapter four develops a new theory about sovereign debt defaults. In a small
open economy setting we show that default on government debt can be optimal under full
commitment of the government because it allows for increased risk diversification.
Translation of the title:
Drei Aufsätze über Staatsbankrotte und Kreditbeschränkungen durch Besicherung
(German)
Das Dokument wird vom Publikationsserver der Universitätsbibliothek Mannheim bereitgestellt.
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