International and domestic collateral constraints in a model of emerging market crises

• 成果类型: Article
• 署名作者: Caballero, RJ; Krishnamurthy, A
• 署名单位: Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Northwestern University
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/S0304-3932(01)00084-8
• 发表日期: 2001
• 页码: 513-548
• 关键词: capital flows; fire sales; microeconomic and aggregate financial constraints; contractual and corporate governance problems; balance sheets; wasted collateral; domestic and foreign spreads; excessive leverage; collateral under provision; real depreciation; banks

摘要

We build a model of emerging markets crises which features two types of collateral constraints. Finns in a domestic economy have limited borrowing capacity from international investors. They also have limited borrowing capacity with respect to each other. We study how the presence and changes in these collateral constraints affect financial and real variables. A binding international constraint in the aggregate leads to a sharp rise in interest rates and fire sales of domestic assets, while limited domestic collateral can lead to wasted international collateral. These two collateral constraints can interact in important ways. The first is disintermediation: a fire sale of domestic assets causes banks to fail in their function of reallocating resources across the economy leading to wasted international collateral. The second is a dynamic effect. We show that firms in an economy with limited domestic collateral and a binding international collateral constraint will not adequately precaution against adverse shocks, increasing the severity of these shocks. (C) 2001 Elsevier Science B.V. All rights reserved.