全球智库信息集成服务系统(G2TT): DP10462 Changing Credit Limits, Changing Business Cycles

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP10462
	DP10462 Changing Credit Limits, Changing Business Cycles
	Henrik Jensen; Emiliano Santoro; Søren Hove Ravn
发表日期	2015-03-01
出版年	2015
语种	英语
摘要	In the last decades, capital markets across the industrialized world have undergone massive deregulation, involving increases in the loan-to-value (LTV) ratios of households and firms. We study the business-cycle implications of this phenomenon in a dynamic general equilibrium model with multiple credit-constrained agents. Starting from low LTV ratios, a progressive relaxation of credit constraints leads to both higher macroeconomic volatility and stronger comovement between debt and real variables. This pattern reverses at LTV ratios not far from those currently observed in many advanced economies, since credit constraints become non-binding more often. As expansionary shocks may make credit constraints non-binding, while contractionary shocks cannot, recessions become deeper than expansions. The non-monotonic relationship between credit market conditions and macroeconomic fluctuations poses a serious challenge for regulatory and macroprudential policies.
主题	International Macroeconomics
关键词	Business cycles Capital-market liberalization Capital-market regulation Occasionally non-binding contract constraints
URL	https://cepr.org/publications/dp10462
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/539294
推荐引用方式 GB/T 7714	Henrik Jensen,Emiliano Santoro,Søren Hove Ravn. DP10462 Changing Credit Limits, Changing Business Cycles. 2015.