Deterministic debt cycles in open economies with flow collateral constraints

• 成果类型: Article
• 署名作者: Schmitt-Grohe, Stephanie; Uribe, Martin
• 署名单位: Columbia University; Center for Economic & Policy Research (CEPR); National Bureau of Economic Research
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2021.105195
• 发表日期: 2021
• 关键词: Deterministic cycles; collateral constraints; capital controls

摘要

This paper establishes the existence of endogenous cycles in infinite-horizon open economy models with a flow collateral constraint. It shows that for plausible parameter configurations, the economy has a unique equilibrium exhibiting deterministic cycles in which periods of debt growth are followed by periods of debt deleveraging. In particular, three-period cycles exist, which implies by the Li-Yorke Theorem the presence of cycles of any periodicity and chaos. The paper also shows that deterministic cycles are absent in the Ramsey optimal allocation providing a justification for macroprudential policies even in the absence of uncertainty. (C) 2021 Elsevier Inc. All rights reserved.