LEVERAGE CONSTRAINTS AND REAL INTEREST RATES

被引：0

作者：

Isohaetaelae, Jukka ^{[1
]}

Kusmartsev, Feodor ^{[1
]}

Milne, Alistair ^{[2
]}

Robertson, Donald ^{[3
]}

机构：

[1] Univ Loughborough, Dept Phys, Loughborough, Leics, England

[2] Univ Loughborough, Sch Business & Econ, Loughborough, Leics, England

[3] Univ Cambridge, Fac Econ, Cambridge CB2 1TN, England

来源：

MANCHESTER SCHOOL | 2015年 / 83卷

关键词：

GLOBAL IMBALANCES; CONSUMPTION; MODEL; RISK;

D O I：

10.1111/manc.12111

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper investigates the macroeconomic dynamics of consumption and real interest rates when there are constraints on debt finance, used both for insurance against income shocks and transferability of resources over time. We amend a standard continuous-time deterministic model, with patient and impatient household sectors, introducing sector level income shocks. Shocks that push the impatient sector towards its leverage limit increase precautionary saving and result in a substantial but transient decline of the real interest rate relative to the deterministic benchmark. We discuss the resulting dynamics of consumption, leverage and interest rates, and implications for macroeconomic modelling and policy.

引用

页码：83 / 109

页数：27

共 50 条

[1] Real interest rates, leverage, and bank risk-taking
Dell'Ariccia, Giovanni
Laeven, Luc
Marquez, Robert
[J]. JOURNAL OF ECONOMIC THEORY, 2014, 149 : 65 - 99
[2] Interest Rates, Leverage, and Money
Apostolos Serletis
Khandokar Istiak
Periklis Gogas
[J]. Open Economies Review, 2013, 24 : 51 - 78
[3] Interest Rates, Leverage, and Money
Serletis, Apostolos
Istiak, Khandokar
Gogas, Periklis
[J]. OPEN ECONOMIES REVIEW, 2013, 24 (01) : 51 - 78
[4] THE LEVERAGE STRUCTURE OF INTEREST-RATES
ARZAC, ER
SCHWARTZ, RA
WHITCOMB, DK
[J]. JOURNAL OF MONEY CREDIT AND BANKING, 1981, 13 (01) : 72 - 88
[5] REAL INTEREST RATES AS A MEASURE OF WELFARE IN AN ECONOMY WITH INCENTIVE CONSTRAINTS
Suzuki, Shiba
[J]. HITOTSUBASHI JOURNAL OF ECONOMICS, 2009, 50 (01) : 47 - 56
[6] INTEREST-RATES, LEVERAGE, AND INVESTOR RATIONALITY
KRAINER, RE
[J]. JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1977, 12 (01) : 1 - 16
[7] Evaluation of Australian REIT Performance and the Impact of Interest Rates and Leverage
Wong, Woon Weng
Reddy, Wejendra
[J]. INTERNATIONAL REAL ESTATE REVIEW, 2018, 21 (01): : 41 - 70
[8] Real interest rates, liquidity constraints and financial deregulation: Private consumption behavior in the UK
Sarno, L
Taylor, MP
[J]. JOURNAL OF MACROECONOMICS, 1998, 20 (02) : 221 - 242
[9] The assessment: Real interest rates
Allsopp, C
Glyn, A
[J]. OXFORD REVIEW OF ECONOMIC POLICY, 1999, 15 (02) : 1 - 16
[10] Negative real interest rates
Chen, Jing
Ma, Diandian
Song, Xiaojong
Tippett, Mark
[J]. EUROPEAN JOURNAL OF FINANCE, 2017, 23 (15): : 1447 - 1467

← 1 2 3 4 5 →