Collateral constraints and the amplification mechanism

• 成果类型: Article
• 署名作者: Krishnamurthy, A
• 署名单位: Northwestern University
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/S0022-0531(03)00098-X
• 发表日期: 2003
• 页码: 277-292
• 关键词: credit market imperfections; financial crises; incomplete markets; liquidity; interest rate swaps; insurance

摘要

Kiyotaki and Moore (J. Polit. Economy 105 (1997) 211) have offered a theory for how common shocks to credit-constrained firms are amplified through changes in collateral values and transmitted as fluctuations in output. I clarify and extend their model by showing that their collateral amplification mechanism is not robust to the introduction of markets that allow these firms to hedge against common shocks. A theory of incomplete hedging is proposed in which the supply of hedging available in the economy is constrained by the aggregate value of collateral. I illustrate how the constraint reinstates amplification effects and discuss empirical implications of this new mechanism. (C) 2003 Elsevier Science (USA). All rights reserved.