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Fragility of resale markets for securitized assets and policy of asset purchases

Author: Martin Kuncl; Bank of Canada,
Publisher: Ottawa, Ontario, Canada : Bank of Canada = Banque du Canada, 2016. ©2016
Series: Staff working paper (Bank of Canada), 2016-46.
Edition/Format:   eBook : Document : National government publication : EnglishView all editions and formats
Summary:
"Markets for securitized assets were characterized by high liquidity prior to the recent financial crisis and by a sudden market dry-up at the onset of the crisis. A generalequilibrium model with heterogeneous investment opportunities and information frictionspredicts that, in boom periods or mild recessions, the degree of adverse selection in resale markets for securitized assets is limited because of the  Read more...
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Details

Material Type: Document, Government publication, National government publication, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Martin Kuncl; Bank of Canada,
OCLC Number: 964368762
Language Note: Includes abstracts in English and French.
Notes: Distributed by the Government of Canada Depository Services Program (Weekly acquisitions list 2016-46).
"October 2016."
Description: 1 online resource (ii, 57, that is, 56 pages).
Series Title: Staff working paper (Bank of Canada), 2016-46.
Responsibility: by Martin Kuncl, Canadian Economic Analysis Department, Bank of Canada.

Abstract:

"Markets for securitized assets were characterized by high liquidity prior to the recent financial crisis and by a sudden market dry-up at the onset of the crisis. A generalequilibrium model with heterogeneous investment opportunities and information frictionspredicts that, in boom periods or mild recessions, the degree of adverse selection in resale markets for securitized assets is limited because of the reputation-based guarantees by asset originators. This supports investment and output. However, in a deep recession, characterized by high dispersion of asset qualities, there is a sudden surge in adverse selection due to an economy-wide default on reputation-based guarantees, which persistently depresses the output in the economy. Government policy of asset purchases limits the negative effects of adverse selection on the real economy, but may create a negative moral hazard problem"--Abstract, p. ii.

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