Three essays on sovereign default and collateral constraints

Grill, Michael

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URN: urn:nbn:de:bsz:180-madoc-293504
Document Type: Doctoral dissertation
Year of publication: 2011
Place of publication: Mannheim
University: Universität Mannheim
Evaluator: Adam, Klaus
Date of oral examination: 26 September 2011
Publication language: English
Institution: School of Law and Economics > Sonstige - Fakultät für Rechtswissenschaft und Volkswirtschaftslehre
Subject: 330 Economics
Classification: JEL: D53 , G11 , G12 , C63 , C68 , E21 , H63 , F34,
Subject headings (SWD): Dynamische Makroökonomie
Keywords (English): 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)

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