Collateral fluctuations in a monetary economy

• 成果类型: Article
• 署名作者: Ferraris, Leo; Watanabe, Makoto
• 署名单位: Universidad Carlos III de Madrid
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2011.06.012
• 发表日期: 2011
• 页码: 1915-1940
• 关键词: Money search; collateral; cycles

摘要

This paper studies economy-wide fluctuations that occur endogenously in the presence of monetary and real assets. Using a standard monetary search model, we consider an economy in which agents can increase consumption, over and above what their liquid monetary asset holdings would allow, pledging real assets as collateral for monetary loans. It is shown that, if the liquidation value of real assets is below full market value, a stable cyclical equilibrium can emerge in consumption and capital around the unstable steady state. We also provide conditions for the existence of cycles of higher order, chaos and sunspot equilibria. (C) 2011 Elsevier Inc. All rights reserved.