Amplification and Asymmetric Effects without Collateral Constraints

• 成果类型: Article
• 署名作者: Cao, Dan; Nie, Guangyu
• 署名单位: Georgetown University; Shanghai University of Finance & Economics
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.20150219
• 发表日期: 2017
• 页码: 222-266
• 关键词: business cycles; shocks; MODEL

摘要

The seminal contribution by Kiyotaki and Moore (1997) has spurred a vast literature on the importance of collateral constraints in propagating and amplifying shocks to the economy. However, most papers in the literature using collateral constraints assume non-state-contingent debt, i.e., markets are incomplete. To assess the relative importance of collateral constraints versus market incompleteness, we study a calibrated incomplete markets model and solve it with and without collateral constraints. We find that market incompleteness by itself plays a quantitatively significant role in the amplified and asymmetric responses of the economy, including land price and output, to exogenous shocks.