Credit cycles with market-based household leverage

• 成果类型: Article
• 署名作者: Diamond, William; Landvoigt, Tim
• 署名单位: University of Pennsylvania; University of Pennsylvania
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.11.001
• 发表日期: 2022
• 页码: 726-753
• 关键词: credit constraints; Household leverage; Financial intermediaries; Housing boom; Credit crises; Safe assets

摘要

We develop a general equilibrium model in which households' mortgage leverage is de-termined by supply and demand forces, where the price of credit impacts the quantity of leverage households choose. Mortgages are supplied by financial intermediaries, who offer households a menu of mortgage contracts whose pricing varies with intermediaries' eq-uity capital. In the model, growth in the demand for safe assets that replicates the falling interest rates in the 20 0 0s causes an empirically realistic boom in household borrowing, debt-financed consumption, and house prices. This boom results in a larger bust in asset prices and household borrowing in future financial crises.(c) 2021 Elsevier B.V. All rights reserved.