| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w16091 |
| 来源ID | Working Paper 16091 |
| Overborrowing, Financial Crises and 'Macro-prudential' Taxes | |
| Javier Bianchi; Enrique G. Mendoza | |
| 发表日期 | 2010-06-17 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | An equilibrium model of financial crises driven by Irving Fisher's financial amplification mechanism features a pecuniary externality, because private agents do not internalize how the price of assets used for collateral respond to collective borrowing decisions, particularly when binding collateral constraints cause asset fire-sales and lead to a financial crisis. As a result, agents in the competitive equilibrium borrow "too much" ex ante, compared with a financial regulator who internalizes the externality. Quantitative analysis calibrated to U.S. data shows that average debt and leverage are only slightly larger in the competitive equilibrium, but the incidence and magnitude of financial crises are much larger. Excess asset returns, Sharpe ratios and the price of risk are also much larger, and the distribution of returns displays endogenous fat tails. State-contingent taxes on debt and dividends of about 1 and -0.5 percent on average respectively support the regulator's allocations as a competitive equilibrium. |
| 主题 | Microeconomics ; Welfare and Collective Choice ; Macroeconomics ; Business Cycles ; Money and Interest Rates ; International Economics ; International Finance ; International Macroeconomics |
| URL | https://www.nber.org/papers/w16091 |
| 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/573766 |
| 推荐引用方式 GB/T 7714 | Javier Bianchi,Enrique G. Mendoza. Overborrowing, Financial Crises and 'Macro-prudential' Taxes. 2010. |
| 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 | ||
| w16091.pdf（478KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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