Real Credit Cycles

• 成果类型: Article
• 署名作者: Bordalo, Pedro; Gennaioli, Nicola; Shleifer, Andrei; Terry, Stephen J.
• 署名单位: University of Oxford; Bocconi University; Harvard University
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282; 1944-7981
• DOI: 10.1257/aer.20211820
• 发表日期: 2026-04
• 页码: 1274-1308
• 关键词: Lumpy investment; business cycles; monetary-policy; liquidity trap; expectations; uncertainty; debt; INFORMATION; DYNAMICS; MARKETS

摘要

We embed diagnostic expectations in a workhorse neoclassical model with heterogeneous firms and risky debt. A realistic degree of overreaction estimated from US firms' earnings forecasts generates realistic credit cycles. Good times produce economic and financial fragility, predicting future disappointment of expectations, low bond returns, and investment declines. To generate the size of spread increases observed during 2007-2009, the model requires only moderate negative shocks. Diagnostic expectations offer a realistic, parsimonious way to produce financial reversals in business cycle models. (JEL D84, E13, E22, E32, E44, G12, G32)