A quantitative theory of unsecured consumer credit with risk of default

• 成果类型: Article
• 署名作者: Chatterjee, Satyajit; Corbae, Dean; Nakaiima, Makoto; Rios-Rull, Jose-Victor
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Philadelphia; University of Texas System; University of Texas Austin; University of Illinois System; University of Illinois Urbana-Champaign; University of Pennsylvania; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); University of Minnesota System; University of Minnesota Twin Cities
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.1111/j.1468-0262.2007.00806.x
• 发表日期: 2007
• 页码: 1525-1589
• 关键词: constraints; MARKETS

摘要

We study, theoretically and quantitatively, the general equilibrium of an economy in which households smooth consumption by means of both a riskless asset and unsecured loans with the option to default. The default option resembles a bankruptcy filing under Chapter 7 of the U.S. Bankruptcy Code. Competitive financial intermediaries offer a menu of loan sizes and interest rates wherein each loan makes zero profits. We prove the existence of a steady-state equilibrium and characterize the circumstances under which a household defaults on its loans. We show that our model accounts for the main statistics regarding bankruptcy and unsecured credit while matching key macroeconomic aggregates, and the earnings and wealth distributions. We use this model to address the implications of a recent policy change that introduces a form of means testing for households contemplating a Chapter 7 bankruptcy filing. We find that this policy change yields large welfare gains.