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- handle: 10670/1.e6kbt4
- hal: hal-03778018
- doi: 10.1016/j.euroecorev.2022.104219
- WOS: 000838584700016
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info:eu-repo/semantics/altIdentifier/doi/10.1016/j.euroecorev.2022.104219
http://creativecommons.org/licenses/by-nc-nd/ , info:eu-repo/semantics/OpenAccess
Mots-clés
Endogenous collateral constraints State-contingent interest rate Redistribution shocks Multiple equilibria E - Macroeconomics and Monetary Economics/E.E2 - Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy/E.E2.E21 - Consumption • Saving • Wealth E - Macroeconomics and Monetary Economics/E.E2 - Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy/E.E2.E22 - Investment • Capital • Intangible Capital • Capacity E - Macroeconomics and Monetary Economics/E.E3 - Prices, Business Fluctuations, and Cycles/E.E3.E32 - Business Fluctuations • Cycles E - Macroeconomics and Monetary Economics/E.E4 - Money and Interest Rates/E.E4.E44 - Financial Markets and the Macroeconomy E - Macroeconomics and Monetary Economics/E.E6 - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook/E.E6.E63 - Comparative or Joint Analysis of Fiscal and Monetary Policy • Stabilization • Treasury PolicySujets proches
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Patrick Pintus et al., « The inverted leading indicator property and redistribution effect of the interest rate », HAL-SHS : économie et finance, ID : 10.1016/j.euroecorev.2022.104219
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Résumé
The interest rate at which US firms borrow funds has two features: (i) it moves in a countercyclical fashion and (ii) it is an inverted leading indicator of real economic activity: low interest rates today forecast future booms in GDP, consumption, investment, and employment. We show that a Kiyotaki–Moore model accounts for both properties when interest-rate movements are driven, in a significant way, by self-fulfilling belief shocks that redistribute income away from lenders and to borrowers during booms. The credit-based nature of such self-fulfilling equilibria is shown to be essential: the dynamic correlation between current loanable funds rate and future aggregate economic activity depends critically on the property that the interest rate is state-contingent. Bayesian estimation of our benchmark DSGE model on US data shows that the model driven by redistribution shocks results in a better fit to the data than both standard RBC models and Kiyotaki–Moore type models with unique equilibrium.