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SUMMARY:Dynamic Leveraging-Deleveraging Games
DTSTART:20171124T103000
DTEND:20171124T120000
DTSTAMP:20260407T103400Z
UID:46ff13db095f09d6bb5de91931b161c0714eb723d307e303463f481c
CATEGORIES:Conferences - Seminars
DESCRIPTION:Andreea MINCA (Cornell University)\nWe introduce a new mechani
 sm for leverage dynamics\, which results from a multi-period game of lende
 rs with differentiated beliefs about the firm's fundamental returns. The g
 ame features strategic substitutability for low existing leverage and one-
 sided strategic complementarity for high existing leverage. The resulting 
 leverage process exhibits a mean-reverting regime around a long-run level\
 , as long as it stays below an instability level. Above the instability le
 vel\, leverage becomes explosive. We validate our model empirically using 
 aggregate  returns of financial firms over the $10$ year period $2001-201
 0$. Our model predicts the leveraging/deleveraging of this period\, and in
  particular the $2008$ collapse in short term debt.\n 
LOCATION:UNIL\, Extranef\, room 126 https://planete.unil.ch/plan/?local=EX
 T-126
STATUS:CONFIRMED
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