Macroprudential policy with earnings-based borrowing constraints

• 成果类型: Article
• 署名作者: Drechsel, Thomas; Kim, Seho
• 署名单位: University System of Maryland; University of Maryland College Park
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2024.103595
• 发表日期: 2024
• 关键词: financial frictions; Macroprudential policy; collateral constraints; Earnings-based borrowing constraints; Pecuniary externalities

摘要

A large literature has studied optimal regulatory policy in macroeconomic models with asset- based collateral constraints. A common conclusion is that agents 'over-borrow' and optimal policy reduces debt positions through taxes. The reason is that agents do not internalize the effects of their choices on asset prices. . However, recent empirical evidence shows that firms primarily borrow against their earnings rather than their assets. This paper studies optimal macroprudential policy with earnings-based borrowing constraints, both in closed and open economies. We reach the opposite conclusion to the previous literature. Agents 'over-save' (and 'under-borrow') relative to the social optimum, as they do not internalize changes in wages, , which in turn affect firms' earnings. A numerical model exercise demonstrates that incorrectly rolling out a tax policy derived under the assumption of asset-based constraints in an economy where firms actually borrow based on earnings leads to a consumption equivalent welfare loss of up to 2.55%. Optimal macroprudential policy thus critically depends on the specific form of financial constraints.