システム情報系　社会工学域　　　　　　　　　　　　　　　　　　　　　　　　    

         平成27年度　　ファカルティ・セミナー

                       (Faculty Seminar)

日　時　：　2015年10月29日(木)　　16：30-18：00

場　所　：　第三学群F棟　3F1119

講演者　：　前川　淳（まえかわ　じゅん）[東京大学大学院経済学研]

司会者　：　石川　竜一郎

演　題　：　Securitization and Heterogeneous-Belief Bubbles with Collateral
Constraints

                           ＜ 概要 ＞

Miller(1977) or Harrison and Kreps(1978) show asset price is higher in het-

erogeneous model than common prior model. They assume no budget constraint

or no limitation of _nancial market. Recent study explore the role of _nancial

technology in heterogeneous belief model. In this paper, I show that a _nancial

technology make the asset price as high as Harrison and Kreps. Key technol-

ogy is securitization and especially loan backed security. By loan securitization,

pessimistic agents can make a speculative lending to optimists. The asset price

is put up by the securitization.