现代金融体系中，抵押借贷交易在融资活动中占据着非常重要的地位。本项目将通过一系列理论模型分析抵押品质量内生决定机制，及其对金融危机及危机后经济复苏的影响。项目中，借款方内生决定抵押品质量，投资者可以生产关于抵押品的私人信息。项目指出，投资者财富数量是决定抵押品质量和债务合同信息敏感性的重要因素。发达经济体中，借款方会最优选择较低质量抵押品，同时投资者不生产关于抵押品的私人信息。针对抵押品质量的冲击会造成更大幅度的产出损失，发达经济体因而具有更高的金融脆弱性。然而，更大的产出损失使得发达经济体有更强激励花费成本规避危机。由此，本项目可以解释为何发达经济体金融危机发生频率较低，但一旦发生会造成更大损失。本项目还将在模型中引入有限理性投资者，指出投资者短视会导致危机后抵押品质量过高，并可解释为何危机后复苏缓慢。最后，本项目将提出从抵押品渠道防范化解重大金融风险的政策建议。

In modern financial system, collateralized lending plays an important role. This research project will develop a model in which borrowers endogenously determine collateral quality and lenders can produce private information about collateral. Then, the model can explain many stylized facts regarding financial crises and economic recovery. In the model, lender wealth determines collateral quality and information sensitivity of debt contracts. In wealthy economies, borrowers will optimally use low quality collateral, yet lenders will not produce costly information. However, financial fragility emerges: a small shock to collateral quality will significantly constrain borrowing capacity, and will lead to a large drop in output. Borrowers thus have a strong incentive to avert crises by improving collateral quality after the shock, thereby reducing the frequency of crises. This project then introduces investors with limited foresights and shows that myopia could lead to excessive collateral quality after financial crises, which slows down the following economic recovery. Finally, this project will propose policy suggestions to guard against and defuse major financial risks through the collateral channel.