| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w6080 |
| 来源ID | Working Paper 6080 |
| Contagion and Volatility with Imperfect Credit Markets | |
| Pierre-Richard Agenor; Joshua Aizenman | |
| 发表日期 | 1997-07-01 |
| 出版年 | 1997 |
| 语种 | 英语 |
| 摘要 | This paper interprets contagion effects as a perceived increase (triggered by events occurring elsewhere) in the volatility of aggregate shocks impinging on the domestic economy. The implications of this approach are analyzed in a model with two types of credit market imperfections: domestic banks borrow at a premium on world capital markets, and domestic producers (whose demand for credit results from working capital needs) borrow at a premium from domestic banks which possess comparative advantage in monitoring the behavior of domestic agents. Financial intermediation spreads are shown to be determined by a markup that compensates for the expected cost of contract enforcement and state verification and for the expected revenue lost in adverse states of nature. Higher volatility of producers' productivity shocks increases both financial spreads and the producers' cost of capital, resulting in lower employment and higher incidence of default. The welfare effects of volatility are non-linear. Higher volatility does not impose any welfare cost for countries characterized by relatively low volatility and efficient financial intermediation. The adverse welfare effects are large (small) for countries that are at the threshold of full integration with international capital markets (close to financial autarky), that is, countries characterized by a relatively low (high) probability of default. |
| 主题 | International Economics ; International Finance |
| URL | https://www.nber.org/papers/w6080 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/563588 |
| 推荐引用方式 GB/T 7714 | Pierre-Richard Agenor,Joshua Aizenman. Contagion and Volatility with Imperfect Credit Markets. 1997. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w6080.pdf（426KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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