Credit crunches as markov equilibria

被引：1
|
作者：
Azariadis, Costas [1 ,2 ]
Choi, Kyoung Jin [3 ]
机构：
[1] Washington Univ, St Louis, MO 63130 USA
[2] Fed Reserve Bank St Louis, St Louis, MO USA
[3] Univ Calgary, Calgary, AB T2N 1N4, Canada
来源：
JOURNAL OF MACROECONOMICS | 2013年 / 38卷
关键词：
Credit crunch; Unsecured lending; Financial panics; RISK; BUBBLES; MODEL;
D O I：
10.1016/j.jmacro.2013.09.009
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We explain the large observed volatility of commercial and industrial loans as a Markov equilibrium of an economy with limited commitment in which all credit is unsecured and self-enforcing. Aggregate income growth shocks affect gains from future asset market trading, inducing fluctuations in credit limits. The economy alternates between a high state of well diversified idiosyncratic risks and a "credit crunch" state of low debt limits and poor diversification. (C) 2013 Elsevier Inc. All rights reserved.
引用
收藏
页码：2 / 11
页数：10
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