Endogenous Credit Cycles
Bibliographic Data
| ID | 10171827 |
|---|---|
| Authors | Chao Gu (0009-0008-9016-3060, University of Missouri), Fabrizio Mattesini (University of Rome Tor Vergata), Cyril Monnet (0000-0001-6376-4129, University of Bern), Randall Wright (0000-0002-3130-2816, Federal Reserve Bank of Chicago) |
| Year | 2013 |
| Volume | 121 |
| Issue | 5 |
| Pages | 940-965 |
| Publication date | 2013-10-01 |
| Peer Reviewed | Yes |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Political Economy (JOURNAL) |
| Journal identifiers | ISSN: 0022-3808 • E-ISSN: 1537-534X |
| Publisher | University of Chicago Press (PUBLISHER • US) |
| DOI | 10.1086/673472 |
| OpenAlex | W2142166121 |
| Language | EN |
| Citations received | 1 |
| References cited | 26 |
We study models of credit with limited commitment, which implies endogenous borrowing constraints. We show that there are multiple stationary equilibria, as well as nonstationary equilibria, including some that display deterministic cyclic and chaotic dynamics. There are also stochastic (sunspot) equilibria, in which credit conditions change randomly over time, even though fundamentals are deterministic and stationary. We show this can occur when the terms of trade are determined by Walrasian pricing or by Nash bargaining. The results illustrate how it is possible to generate equilibria with credit cycles (crunches, freezes, crises) in theory, and as recently observed in actual economies
Chaotic · Debt · Econometrics · Economics · Invariant (physics · Macroeconomics · Mathematical economics · Banking stability, regulation, efficiency · Economic theories and models · Economic Theory and Policy · Mathematics
| Citation velocity | historical |
|---|---|
| Highly cited | No |