Safety Traps

• 成果类型: Article
• 署名作者: Benhima, Kenza; Massenot, Baptiste
• 署名单位: University of Lausanne
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.5.4.68
• 发表日期: 2013
• 页码: 68-106
• 关键词: habit formation; asset returns; liquidity; JAPAN; equilibria; PRIVATE

摘要

Fear of risk provides a rationale for protracted economic downturns. We develop a real business cycle model where investors with decreasing relative risk aversion choose between a risky and a safe technology that exhibit decreasing returns. Because of a feedback effect from the interest rate to risk aversion, two equilibria can emerge: a standard equilibrium and a safe one in which investors invest in safer assets. We refer to the dynamics of this second equilibrium as a safety trap because it is self-reinforcing as investors accumulate more wealth and show it to be consistent with Japan's lost decade.