Funding Constraints and Informational Efficiency
构建了一个包含保证金约束的理性预期均衡模型，发现约束与信息效率相互影响，形成放大机制：财富下降收紧约束、降低信息获取激励，进而推高风险溢价和波动率。
Abstract We analyze a tractable rational expectations equilibrium model with margin constraints. We argue that constraints affect and are affected by informational efficiency, leading to a novel amplification mechanism. A decline in wealth tightens constraints and reduces investors’ incentive to acquire information, lowering price informativeness. Lower informativeness, in turn, increases the risk borne by financiers who fund trades, leading them to further tighten constraints faced by investors. This information spiral leads to (a) significant increases in risk premium and return volatility in crises, when investors wealth declines, (b) complementarities in information acquisition in crises, and (c) complementarities in margin requirements.