文章基本信息

标题：Leverage and deepening business cycle skewness
本地全文：下载
作者：Henrik Jensen ; Ivan Petrella ; Søren Hove Ravn 等
期刊名称：Documentos de Trabajo / Banco de España
印刷版ISSN：0213-2710
电子版ISSN：1579-8666
出版年度：2017
卷号：1
出版社：Banco de España
摘要：We document that the U.S. economy has been characterized by an increasingly negativebusiness cycle asymmetry over the last three decades. This fi nding can be explained by theconcurrent increase in the fi nancial leverage of households and fi rms. To support this view,we devise and estimate a dynamic general equilibrium model with collateralized borrowingand occasionally binding credit constraints. Higher leverage increases the likelihood thatconstraints become slack in the face of expansionary shocks, while contractionary shocksare further amplifi ed due to binding constraints. As a result, booms become progressivelysmoother and more prolonged than busts. We are therefore able to reconcile a more negativelyskewed business cycle with the Great Moderation in cyclical volatility. Finally, in line with recentempirical evidence, fi nancially-driven expansions lead to deeper contractions, as comparedwith equally-sized non-fi nancial expansions.
关键词：credit constraints; business cycles; skewness; deleveraging.