Secured Loans and Risky Assets in a Monetary Economy
研究了带有违约选项的担保信贷对货币均衡的影响，发现监控成本为零时资产收益不确定性不影响配置，而存在监控成本时资产具有流动性溢价，且在某些情况下资产风险增加反而可能降低边际借贷成本、提高银行贷款和总流动性。
Abstract We study the implication of secured credit with a default option for monetary equilibrium. The intermediary structure has the feature of costly state verification, with the monitoring cost interpreted as the cost of foreclosing assets once a default occurs. Without monitoring costs, uncertainty in asset payoffs does not matter for allocation. The asset price can exhibit a liquidity premium because more assets as collateral raises the borrower's credit limit. When there are monitoring costs, the asset's liquidity premium is strictly positive because pledging more assets reduces the default probability and thus the chance to incur monitoring costs. Under some circumstances, increased risk to dividends of the pledged asset may decrease the marginal borrowing cost to such an extent that bank lending rises, and higher default rates are accompanied by larger aggregate liquidity.