Endogenous Credit Cycles

• 成果类型: Article
• 署名作者: Gu, Chao; Mattesini, Fabrizio; Monnet, Cyril; Wright, Randall
• 署名单位: University of Missouri System; University of Missouri Columbia; University of Rome Tor Vergata; University of Bern; Study Center Gerzensee; Federal Reserve System - USA; Federal Reserve Bank - Chicago; University of Wisconsin System; University of Wisconsin Madison; National Bureau of Economic Research
• 刊物名称: JOURNAL OF POLITICAL ECONOMY
• ISSN/ISSBN: 0022-3808
• DOI: 10.1086/673472
• 发表日期: 2013
• 页码: 940-965
• 关键词: Sunspot equilibria; fluctuations; MODEL; liquidity; bubbles

摘要

This paper studies models of credit with limited commitment and, therefore, endogenous debt limits. There are multiple stationary equilibria plus nonstationary equilibria in which credit conditions change simply because of beliefs. There can be equilibria in which debt limits display deterministic cyclic or chaotic dynamics, as well as stochastic (sunspot) equilibria in which they fluctuate randomly, even though fundamentals are deterministic and time invariant. Examples and applications are discussed. We also consider different mechanisms for determining the terms of trade and compare the setup to other credit models in the literature.