Econ Papers Daily / 期刊论文
最优信息与安全设计
Optimal Information and Security Design
摘要
An asset owner designs an asset-backed security and a signal about its value. After experiencing a liquidity shock and privately observing the signal, he sells the security to imperfectly competitive buyers. With flexible information design, the security’s informational sensitivity is a blessing, not a curse. Among double-monotone securities, the issuer prefers to sell the asset in combination with an appropriate signal rather than design more complex securities. Within the class of monotone securities, live-or-die securities are optimal and strictly dominate asset sales. When signals are restricted to be sufficiently informative about the upside, debt and additional-tier-1 debt become optimal. (JEL D82, D86, G32)
中文摘要
资产所有者设计一种资产支持证券及其价值信号。在经历流动性冲击并私下观察到该信号后，他将证券出售给不完全竞争的买家。在灵活的信息设计下，证券的信息敏感性是福而非祸。在双单调证券中，发行人更倾向于将资产与适当的信号结合出售，而非设计更复杂的证券。在单调证券类别中，生存或死亡证券是最优的，并严格优于资产出售。当信号被限制为对上行空间具有足够信息量时，债务和额外一级债务成为最优选择。(JEL D82, D86, G32)