Leverage and Deepening Business-Cycle Skewness

• 成果类型: Article
• 署名作者: Jensen, Henrik; Petrella, Ivan; Ravn, Soren Hove; Santoro, Emiliano
• 署名单位: University of Copenhagen; Center for Economic & Policy Research (CEPR); University of Warwick
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.20170319
• 发表日期: 2020
• 页码: 245-281
• 关键词: monetary-policy; financial crises; constraints; volatility; DYNAMICS

摘要

We document that the United States and other G7 economies have been characterized by an increasingly negative business-cycle asymmetry over the last three decades. This finding can be explained by the concurrent increase in the financial leverage of households and firms. To support this view, we devise and estimate a dynamic general equilibrium model with collateralized borrowing and occasionally binding credit constraints. Improved access to credit increases the likelihood that financial constraints become nonbinding in the face of expansionary shocks, allowing agents to freely substitute inter-temporally. Contractionary shocks, however, are further amplified by drops in collateral values, since constraints remain binding. As a result, booms become progressively smoother and more prolonged than busts. Finally, in line with recent empirical evidence, financially driven expansions lead to deeper contractions, as compared with equally sized nonfinancial expansions.