摘要翻译：
本文提出了一个套利限额模型，研究了证券化、杠杆化和信用风险保护对银行信贷周期性的影响。在银行信贷稳定的情况下，不会出现信贷扩张或收缩的周期。无杠杆证券化加上证券化资产的错误定价增加了贷款的周期性，有利于信贷的繁荣和萧条。与简单的证券化相比，杠杆改变了事态。首先，实际活动量和银行利润增加。其次，银行在市场下跌时出售证券。这种抛售给下跌的价格带来了进一步的压力。信用风险保护或证券化资产的错误定价影响实体经济。这些合同的交易减少了企业家可获得的资金，特别是对高信用风险借款人。这种交易降低了证券化资产的流动性，尤其是那些基于高信用风险投资的资产。
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英文标题：
《Credit Cycles, Securitization, and Credit Default Swaps》
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作者：
Juan Ignacio Pe\~na
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最新提交年份：
2019
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分类信息：

一级分类：Economics        经济学
二级分类：Theoretical Economics        理论经济学
分类描述：Includes theoretical contributions to Contract Theory, Decision Theory, Game Theory, General Equilibrium, Growth, Learning and Evolution, Macroeconomics, Market and Mechanism Design, and Social Choice.
包括对契约理论、决策理论、博弈论、一般均衡、增长、学习与进化、宏观经济学、市场与机制设计、社会选择的理论贡献。
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英文摘要：
  We present a limits-to-arbitrage model to study the impact of securitization, leverage and credit risk protection on the cyclicity of bank credit. In a stable bank credit situation, no cycles of credit expansion or contraction appear. Unlevered securitization together with mis-pricing of securitized assets increases lending cyclicality, favoring credit booms and busts. Leverage changes the state of affairs with respect to the simple securitization. First, the volume of real activity and banking profits increases. Second, banks sell securities when markets decline. This selling puts further pressure on falling prices. The mis-pricing of credit risk protection or securitized assets influences the real economy. Trading in these contracts reduces the amount of funding available to entrepreneurs, particularly to high-credit-risk borrowers. This trading decreases the liquidity of the securitized assets, and especially those based on investments with high credit risk.
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PDF链接：
https://arxiv.org/pdf/1901.00177