| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w20642 |
| 来源ID | Working Paper 20642 |
| Adverse Selection and Self-fulfilling Business Cycles | |
| Jess Benhabib; Feng Dong; Pengfei Wang | |
| 发表日期 | 2014-11-03 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | We introduce a simple adverse selection problem arising in credit markets into a standard textbook real business cycle model. There is a continuum of households and a continuum of anonymous producers who produce the final goods from intermediate goods. These producers do not have the resources to make up-front payments to purchase inputs and must do so by borrowing from competitive financial intermediates. However, lending to these producers is risky: honest borrowers will always pay off their debt, but dishonest borrowers will always default. This gives rise to an adverse selection problem for financial intermediaries. In a continuous-time real business cycle setting we show that such adverse selection generates multiple steady states and both local and global indeterminacy, and can give rise to equilibria with probabilistic jumps in credit, consumption, investment and employment driven by Markov sunspots under calibrated parameterizations and fully rational expectations. Introducing reputational effects eliminates defaults and results in a unique but still indeterminate steady state. Finally we generalize the model to firms with heterogeneous and stochastic productivity, and show that indeterminacies and sunspots persist. |
| 主题 | Macroeconomics ; Business Cycles ; Money and Interest Rates ; Financial Economics |
| URL | https://www.nber.org/papers/w20642 |
| 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/578317 |
| 推荐引用方式 GB/T 7714 | Jess Benhabib,Feng Dong,Pengfei Wang. Adverse Selection and Self-fulfilling Business Cycles. 2014. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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