Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/208225 
Erscheinungsjahr: 
2018
Schriftenreihe/Nr.: 
ECB Working Paper No. 2191
Verlag: 
European Central Bank (ECB), Frankfurt a. M.
Zusammenfassung: 
Protection buyers use derivatives to share risk with protection sellers, whose assets are only imperfectly pledgeable because of moral hazard. To mitigate moral hazard, privately optimal derivative contracts involve variation margins. When margins are called, protection sellers must liquidate some of their own assets. We analyse, in a general-equilibrium framework, whether this leads to inefficient fire sales. If investors buying in a fire sale interim can also trade ex ante with protection buyers, equilibrium is information-constrained efficient even though not all marginal rates of substitution are equalized. Otherwise, privately optimal margin calls are ineffciently high. To address this inefficiency, public policy should facilitate ex-ante contracting among all relevant counterparties.
Schlagwörter: 
variation margins
fire sales
pecuniary externalities
constrained efficiency
macro-prudential regulation
JEL: 
G18
D62
G13
D82
Persistent Identifier der Erstveröffentlichung: 
ISBN: 
978-92-899-3296-7
Dokumentart: 
Working Paper

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