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Xuewen Liu*, Pengfei Wang, Zhongchao Yang(杨中超):Delayed crises and slow recoveries
时间:2023-11-29    点击数:

AbstractWe present a rational expectations model of credit-driven crises, providing a new perspective to explain why credit booms can lead to severe financial crises and aftermath slow economic recoveries. In our model economy, banks can operate in two types of business. They are sequentially aware of the deterioration of fundamentals of the speculative business and decide whether to continue credit extension in that business or liquidate capital and move into the traditional business. However, because individual banks face uncertainty about how many of their peers have been aware, they rationally choose to extend credit in the speculative business for a longer time than is socially optimal, leading to an over-delayed crisis and consequently more banks being caught by the crisis. This in turn renders the financial crisis more severe and the subsequent economic recovery slower. Extending to a standard textbook macroeconomic growth setting, our model also generates rich dynamics of economic booms, slowdowns, crashes, and recoveries.

KeywordsCredit extensions,Synchronization,Externality,Economic recoveries

该文发表于Journal of Financial Economics 2024年2月第152期,该期刊为betway必威学术期刊分级方案A级奖励期刊。

原文链接: https://www.sciencedirect.com/science/article/abs/pii/S0304405X23001976