Self-Fulfilling Credit Cycles

• 成果类型: Article
• 署名作者: Azariadis, Costas; Kaas, Leo; Wen, Yi
• 署名单位: Washington University (WUSTL); Federal Reserve System - USA; Federal Reserve Bank - St. Louis; University of Konstanz; Tsinghua University
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1093/restud/rdv056
• 发表日期: 2016
• 页码: 1364-1405
• 关键词: business cycles; increasing returns; capital structure; debt; bubbles; RISK; MARKETS; COSTS; fluctuations; determinants

摘要

In U.S. data 1981-2012, unsecured firm credit moves procyclically and tends to lead GDP, while secured firm credit is acyclical; similarly, shocks to unsecured firm credit explain a far larger fraction of output fluctuations than shocks to secured credit. In this article, we develop a tractable dynamic general equilibrium model in which unsecured firm credit arises from self-enforcing borrowing constraints, preventing an efficient capital allocation among heterogeneous firms. Unsecured credit rests on the value that borrowers attach to a good credit reputation which is a forward-looking variable. We argue that self-fulfilling beliefs over future credit conditions naturally generate endogenously persistent business-cycle dynamics. Adynamic complementarity between current and future borrowing limits permits uncorrelated sunspot shocks to unsecured debt to trigger persistent aggregate fluctuations in both secured and unsecured debt, factor productivity, and output. We show that these sunspot shocks are quantitatively important, accounting for around half of output volatility.