Les imperfections du marché de crédit et le cycle d'affaires (original) (raw)

Credit Market Shocks, Monetary Policy, and Economic Fluctuations

2012

This paper uses a dynamic stochastic general equilibrium model with credit market imperfections to estimate the role of credit market shocks and monetary policy in U.S. business cycles. The estimated model captures much of the historical narrative regarding the conduct of monetary policy and developments in …nancial markets that led to episodes of …nancial excess and distress over the last two decades. The estimation suggests that credit market shocks are an important factor behind economic ‡uctuations accounting for 15% of the variance in real output since 1985. Monetary policy is also an important force behind real output ‡uctuations explaining 12.5% of its variance. The impulse response functions of the estimated model show that …nancial shocks have important real e¤ects as a 0.25% rise in the external …nance premium causes a 0.73% decrease in output and a 2.8% decrease in investment.

Credit Shocks in a Monetary Business Cycle

2004

Credit shocks are identi…ed empirically in a a monetary business cycle model. The model extends the standard stochastic cash-inadvance economy by including the production of credit that serves as an alternative to money in exchanges. Shocks to goods productivity, money, and credit productivity are each determined robustly from the solution to the model and data on key variables. The contribution of the credit shock to GDP movements is found, and this is interpreted in terms of changes in banking legislation during the US …nancial deregulation era. The results put forth the credit shock as a candidate shock that matters in determining GDP, including in the sense of Uhlig (2004).

Towards a microeconomic theory of the finance-driven business cycle

Laissez-Faire 42, 12-20 (2015)

I sketch a program for a microeconomic theory of the main component of the business cycle as a recurring disequilibrium, driven by incompleteness of the financial market and by information asymmetries between borrowers and lenders. This proposal seeks to incorporate five distinct but connected processes that have been discussed at varying lengths in the literature: the leverage cycle, financial panic, debt deflation, debt overhang, and deleveraging of households. In the wake of the 2007-08 financial crisis, policy responses by central banks have addressed only financial panic and debt deflation. Debt overhang and the slowness of household deleveraging account for the Keynesian "excessive saving" seen in recessions, which raises questions about the suitability of the standard Keynesian remedies.

Unemployment and Gross Credit Flows in a New Keynesian Framework

2016

The Great Recession of 2008-09 was characterized by high and prolonged unemployment and lack of bank lending. The recession was preceded by a housing crisis that quickly spread to the banking and broader financial sectors. In this paper, we attempt to account for the depth and persistence of unemployment during and after the crisis by considering the relationship between credit and firm hiring explicitly. We develop a New Keynesian model with nominal rigidities in wages and prices augmented by a banking sector characterized by search and matching frictions with endogenous credit destruction. In the model, financial shocks are propagated and amplified through significant variation over the business cycle in the endogenous component of the total factor productivity, the credit inefficiency gap, arising from the existence of search and matching frictions in the credit market. In response to a financial shock, the model economy produces large and persistent increases in credit destructi...

Credit Constraints and Aggregate Economic Activity Over the Business Cycles

EconStor Research Reports, 2016

The paper examines that imperfections in financial markets are themselves a source of macroeconomic fluctuations. Small, temporary shocks to technology or income distribution can generate large fluctuations in output and asset prices and spill over to other sectors. The work is based on the original model by Kiyotaki and Moore (1997). This paper will simulate a one-unit technology shock and study the propagation through the credit channel, evaluating its quantitative impact. While in the Kiyotaki-Moore model there is a linear production function used, we will try to do the derivation using the non-linear function and analyze how it changes the previously obtained result.

ABSTRACT Title of dissertation: ESSAYS IN MONETARY ECONOMICS AND BUSINESS CYCLES

2016

This dissertation investigates non-linear macroeconomic dynamics within the New Keynesian model during periods with zero short-term nominal interest rates. I implement modern quantitative tools to solve and analyze Dynamic Stochastic General Equilibrium (DSGE) models where the feedback rule that defines monetary policy is subject to the Zero Lower Bound (ZLB) constraint. The revived attention about the importance of the ZLB constraint followed the extreme events that took place in the United States after the financial crisis of 2008. The first chapter studies aggregate dynamics near the ZLB of nominal interest rates in a medium-scale New Keynesian model with capital. I use Sequential Monte Carlo methods to uncover the shocks that pushed the U.S. economy to the ZLB during the Great Recession and investigate the interaction between shocks and fric-tions in generating the contraction of output, consumption and investment during 2008:Q3-2013:Q4. I find that a combination of shocks to th...

Monetary Policy, Financial Crises, and the Macroeconomy: Introduction

2017

The crisis of 2007/08 has debunked the widely held belief that economic crisis and depressions are a thing of the past as wishful thinking. The papers in this volume discuss some recently suggested measures for central banks’ responses to liquidity shortages and to the liquidity trap, methods for assessing the potential of crisis contagion via the interbank network, and the interaction between micro- and macro-prudential regulation. They compare different approaches for solving the Eurozone sovereign-debt problem and provide a new and intriguing explanation for rising income inequality. In this introduction, we survey these contributions and explain how they are related.

Financial Frictions, Financial Shocks and Unemployment Volatility

RePEc: Research Papers in Economics, 2015

Financial market shocks and imperfections, alongside productivity shocks, represent both an impulse and a propagation mechanism of aggregate fluctuations. When labor and financial markets are imperfect, firms' funding and leverage respond to productivity changes. Models of business cycle with equilibrium unemployment largely ignore financial imperfections. The paper proposes and solves a tractable equilibrium unemployment model with imperfections in two markets. Labor market frictions are modeled via a traditional Diamond Mortensen Pissarides (DMP) model with wage positing. Financial market imperfections are modeled in terms of limited pledgeability, in line with the work of Holmstrom and Tirole. We show analytically that borrowing constraints increase unemployment volatility in the aftermath of productivity shocks. We calibrate the model to match key labor and financial moments of the US labor markets, and we perform two quantitative exercises. In the first exercise we ask whether the interaction between productivity shocks and borrowing constraints increase the volatility of unemployment with respect to models that focus only on the labor market imperfections. In the general specification of the model, both leverage and non pledgeable income move with the cycle. Our calibration exercise shows that the volatility of unemployment in response to productivity shock increases by as much as 50 percent with respect to a pure DMP model with wage posting. The second quantitative exercise explores the role of pure financial shocks on aggregate equilibrium. We calibrate pledgeability shocks to match the frequency of financial crisis and define financial distress as a situation in which internal liquidity completely dries up. The second exercise shows that full dry up of internal liquidity implies an increase in unemployment as large as 60 percent. These results throw new light on the aggregate impact of financial recessions.

Credit Market Imperfections and Business Cycle Dynamics: A Nonlinear Approach

Studies in Nonlinear Dynamics & Econometrics, 2003

Linear Vector Autoregression (VAR) models provide a useful starting point for analysing multivariate relationships between economic variables. They are frequently used for empirical macroeconomic modelling, policy analysis and forecasting. However, linear VAR systems fail to capture non-linear dynamics such as regime switching and asymmetric responses to shocks, suggested by the recent theoretical developments in macroeconomic research. In addition, an increasing body of empirical evidence suggests that the linear conditional expectations implied by standard VAR models do not always accord with the observed facts. For example, a significant number of empirical studies document asymmetries in the effects of monetary policy on output growth. This paper employs a more general nonlinear VAR methodology to reexamine previous findings that credit market conditions contribute to economic fluctuations as a propagator of shocks. Unlike linear projections it allows for nonlinear dynamics and asymmetric effects of shocks. We estimate a threshold vector autoregression (TVAR), in which the system's dynamics change back and forth between credit constrained and unconstrained regimes. Using generalised impulse response functions (GIRF) generated from the estimated nonlinear model, we examine the real effects of monetary policy. We find evidence of asymmetry in the effects of monetary policy in the credit constrained and unconstrained regimes as well as different output effects of monetary contractions and expansions.