| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP11166 |
| DP11166 Deepening Contractions and Collateral Constraints | |
| Henrik Jensen; Søren Hove Ravn; Emiliano Santoro | |
| 发表日期 | 2016-03-11 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | The skewness of the US business cycle has become increasingly negative over the last decades. This finding can be explained by the concurrent increases in the loan-to-value ratios of both households and firms. To demonstrate this point, we devise a DSGE model with collateralized borrowing and occasionally non-binding credit constraints. Easier credit access increases the likelihood that constraints become slack in the face of expansionary shocks, while contractionary shocks are further amplified due to tighter constraints. As a result, busts gradually become deeper than booms. Based on the differential impact that occasionally non-binding constraints exert on the shape of expansions and contractions, we are also able to reconcile a more negatively skewed business cycle with a moderation in its volatility. Finally, our model can account for an intrinsic feature of economic downturns preceded by private credit build-ups: Financially driven expansions lead to deeper contractions, as compared to equally-sized non-financial expansions. |
| 主题 | Monetary Economics and Fluctuations |
| 关键词 | Credit constraints Business cycles Skewness Deleveraging |
| URL | https://cepr.org/publications/dp11166 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/539982 |
| 推荐引用方式 GB/T 7714 | Henrik Jensen,Søren Hove Ravn,Emiliano Santoro. DP11166 Deepening Contractions and Collateral Constraints. 2016. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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