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2023
- handle: 10670/1.alx0dj
- halshs: halshs-04345738
- doi: 10.1111/jmcb.13007
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info:eu-repo/semantics/altIdentifier/doi/10.1111/jmcb.13007
info:eu-repo/semantics/OpenAccess
Mots-clés
Liquidity Bubble Collateral Crowding-in effect Growth D - Microeconomics/D.D1 - Household Behavior and Family Economics E - Macroeconomics and Monetary Economics/E.E4 - Money and Interest Rates/E.E4.E44 - Financial Markets and the Macroeconomy G - Financial Economics/G.G1 - General Financial Markets/G.G1.G11 - Portfolio Choice • Investment DecisionsSujets proches
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Lise Clain-Chamosset-Yvrard et al., « Are the liquidity and collateral roles of asset bubbles different? », HAL-SHS : économie et finance, ID : 10.1111/jmcb.13007
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Résumé
Several recent papers introduce different mechanisms to explain why asset bubbles are observed in periods of larger growth. These papers share common assumptions, heterogeneity among traders and credit market imperfection , but differ in the role of the bubble, used to provide liquidities or as collateral in a borrowing constraint. In this paper, we introduce heterogeneous traders by considering an overlapping generations model with households living three periods. Young households cannot invest in capital, while adults have access to investment and face a borrowing constraint. Introducing bubbles in a quite general way, encompassing the different roles they have in the existing literature, we show that the bubble may enhance growth when the borrowing constraint is binding. More significantly, our results do not depend on the-liquidity or collateral-role attributed to the bubble. We finally extend our analysis to a stochas-tic bubble, which may burst with a positive probability. Because credit and bubble are no more perfectly substitutable assets, the liquidity and collateral roles of the bubble are not equivalent. Growth is larger when bubbles play the liquidity role, because the burst of a bubble used for liquidity is less damaging to agents who invest in capital.