Quantitative implications of a debt-deflation theory of Sudden Stops and asset prices

• 成果类型: Article
• 署名作者: Mendoza, Enrique G.; Smith, Katherine A.
• 署名单位: University System of Maryland; University of Maryland College Park; National Bureau of Economic Research; United States Department of Defense; United States Navy; United States Naval Academy
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2005.06.016
• 发表日期: 2006
• 页码: 82-114
• 关键词: emerging markets; sudden stops; collateral constraints; margin calls; trading costs; asset-pricing; fisherian debt-deflation

摘要

This paper shows that the quantitative predictions of an equilibrium asset-pricing model with financial frictions are consistent with key features of the Sudden Stop phenomenon. Foreign traders incur costs in trading assets with domestic agents, and a collateral constraint limits external debt to a fraction of the market value of domestic equity holdings. When this constraint does not bind, standard productivity shocks cause typical real-business-cycle effects. When it binds, the same shocks cause strikingly different effects depending on the leverage ratio and asset market liquidity. With high leverage and a liquid market, the shocks force fire sales of assets and Fisher's debt-deflation mechanism amplifies the responses of asset prices, consumption and the current account. Precautionary saving makes these Sudden Stops infrequent in the long run. (c) 2005 Elsevier B.V All rights reserved.