Divergent risk-attitudes and endogenous collateral constraints

• 成果类型: Article
• 署名作者: Curatola, Giuliano; Faia, Ester
• 署名单位: University of Siena; Goethe University Frankfurt; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2020.105175
• 发表日期: 2021
• 关键词: Loss averse borrowers; Risk-tolerance; Endogenous debt margins; Leverage cycle; occasionally binding constraints

摘要

Financial crises are anticipated by leverage build-up and asset price booms and followed by sharp de-leveraging and asset price burst. Leverage pro-cyclicality, debt margins counter-cyclicality and heightened asset price volatility are often hard to reconcile with credit frictions models, with and without occasionally binding constraints. We show that a model in which the anticipatory effects of occasionally binding collateral constraints interact with borrowers' time-varying risk-attitudes (modeled through gain-loss reference dependent utilities) and with borrowers/lenders risk-attitudes heterogeneity can explain those facts. Simulations through global methods show that the model can also match numerous statistics characterizing the asset price and leverage cycles. (C) 2020 Elsevier Inc. All rights reserved.