International business cycles with domestic and foreign lenders

• 成果类型: Article
• 署名作者: Iacoviello, Matteo; Minetti, Raoul
• 署名单位: Boston College; Michigan State University
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2005.07.024
• 发表日期: 2006
• 页码: 1997-2012
• 关键词: international business cycle; comovement; asset prices; borrowing constraints

摘要

We examine the international transmission of business cycles in a two-country model where credit contracts are imperfectly enforceable. In our economy, foreign lenders differ from domestic lenders in their ability to recover value from borrowers' assets and, therefore, to protect themselves against contractual non-enforceability. The relative importance of domestic and foreign credit frictions changes over the cycle. This induces entrepreneurs to adjust their debt exposure and allocation of collateral between domestic and foreign lenders in response to exogenous productivity shocks. We show that such a model can explain the comovement of output across countries. (c) 2006 Elsevier B.V. All rights reserved.