| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP3103 |
| DP3103 Time-Varying Risk Premia and the Cost of Capital: An Alternative Implication of the Q Theory of Investment | |
| Martin Lettau; Sydney Ludvigson | |
| 发表日期 | 2001-12-12 |
| 出版年 | 2001 |
| 语种 | 英语 |
| 摘要 | This Paper presents a general equilibrium currency crisis model of the 'third generation', in which the possibility of currency crises is driven by the interplay between private firms' credit-constraints and nominal price rigidities. Despite our emphasis on microfoundations, the model remains sufficiently simple that the policy analysis can be conducted graphically. The analysis hinges on four main features: i) ex post deviations from purchasing power parity; ii) credit constraints a la Bernanke-Gertler; iii) foreign currency borrowing by domestic firms; iv) a competitive banking sector lending to firms and holding reserves and a monetary policy conducted either through open market operations or short-term lending facilities. We first show that with a positive likelihood of a currency crisis, firms may indeed find it optimal to borrow in foreign currency, following Chamon (2001). Second, we derive sufficient conditions for the existence of a sunspot equilibrium with currency crises. Third, we show that a reduction in the monetary base through restrictive open market operations is more likely to eliminate the possibility of currency crises if at the same time the central bank does not impose excessive constraints on short-term lending facilities. |
| 主题 | International Macroeconomics |
| 关键词 | Financial crisis Foreign currency debt monetary policy |
| URL | https://cepr.org/publications/dp3103 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/532130 |
| 推荐引用方式 GB/T 7714 | Martin Lettau,Sydney Ludvigson. DP3103 Time-Varying Risk Premia and the Cost of Capital: An Alternative Implication of the Q Theory of Investment. 2001. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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