Sudden Stops, Financial Crises, and Leverage

• 成果类型: Article
• 署名作者: Mendoza, Enrique G.
• 署名单位: University System of Maryland; University of Maryland College Park
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.100.5.1941
• 发表日期: 2010
• 页码: 1941-1966
• 关键词: DEBT-DEFLATION THEORY; real exchange-rate; business cycles; reversals; credit

摘要

Financial crashes were followed by deep recessions in the Sudden Stops of emerging economies. An equilibrium business cycle model with a collateral constraint explains this phenomenon as a result of the amplification and asymmetry that the constraint induces in the responses of macro-aggregates to shocks. Leverage rises during expansions, and when it rises enough it triggers the constraint, causing a Fisherian deflation that reduces credit and the price and quantity of collateral assets. Output and factor allocations fall because access to working capital financing is also reduced. Precautionary saving makes Sudden Stops low probability events nested within normal cycles, as observed in the data. (JEL E21, E23, E32, E44, G01, O11, O16)