We examine the role of collateral in a dynamic model of optimal credit contracts in which a borrower values both housing and non-housing consumption. The borrower’s private information about his income is the only friction. An optimal contract is collateralized when in some state, some portion of the borrower’s net worth is forfeited to the lender. We show that optimal contracts are always collateralized. The total value of forfeited assets is decreasing in income, highlighting the role collateral as a deterrent to manipulation. Some assets, those that generate consumable services will necessarily be collateralized while others may not be. Endogenous default arises when the borrower’s initial wealth is low, as with subprime borrowers, and/or his future earnings are highly variable.

中文翻译：

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最优抵押合约

我们研究了抵押品在最优信贷合同的动态模型中的作用，在该模型中，借款人同时重视住房和非住房消费。借款人关于其收入的私人信息是唯一的摩擦。当在某些状态下，借款人的部分净资产被没收给贷方时，最佳合同将被抵押。我们表明，最优合约总是有抵押的。没收资产的总价值在收入中下降，突出了抵押品作为对操纵的威慑作用。某些资产，即产生可消费服务的资产，必然会被抵押，而其他资产则可能不会。当借款人的初始财富较低时（与次级借款人一样）和/或他的未来收入变化很大，就会出现内生违约。