Indeterminacy in credit economies

• 成果类型: Article
• 署名作者: Bethune, Zachary; Hu, Tai-Wei; Rocheteau, Guillaume
• 署名单位: University of Virginia; University of Bristol; University of California System; University of California Irvine
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2018.01.020
• 发表日期: 2018
• 页码: 556-584
• 关键词: Credit cycles; limited commitment; money

摘要

We characterize the equilibrium set of a two-good, pure-credit economy with limited commitment, under both pairwise and centralized meetings. We show that the set of equilibria derived under not-too-tight solvency constraints (Alvarez and Jermann, 2000) commonly used in the literature is of measure zero in the whole set of Perfect Bayesian Equilibria. There exist a continuum of stationary equilibria, a continuum of endogenous credit cycles of any periodicity, and a continuum of sunspot equilibria, irrespective of the assumed trading mechanism. Equilibria featuring too-tight solvency constraints can generate growing credit limits over time, periodic credit shutdowns, and heterogeneous debt limits across ex-ante identical borrowers. Moreover, we provide examples of credit cycles that dominate, from a social welfare point of view, all equilibria with not-too-tight solvency constraints. (C) 2018 Elsevier Inc. All rights reserved.