Liquidity, infinite horizons and macroeconomic fluctuations

被引：9
作者：
Kato, Ryo [1 ]
机构：
[1] Bank Japan, Int Dept, Chuo Ku, Tokyo 1038660, Japan
来源：
EUROPEAN ECONOMIC REVIEW | 2006年 / 50卷 / 05期
关键词：
liquidity; corporate finance; business cycle;
D O I：
10.1016/j.euroecorev.2005.01.010
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper develops a computable dynamic general equilibrium model in which corporate demand for liquidity is endogenously determined. In the model, liquidity demand is motivated by moral hazard, as in Holmstrom and Tirole (J. Politic. Econom. 106 (1998) 1). As a result of incorporating agency cost and endogenously determined liquidity demand. the model can replicate an empirical business cycle fact, the hump-shaped dynamic response of output, which is seldom observed in standard RBC dynamics. Further. in the model the corporate demand for liquidity from a financial intermediary (credit line. for instance) is pro-cyclical, while the degree of liquidity dependence (defined as liquidity demand divided by corporate investment) is counter-cyclical. These business cycle patterns are consistent with a stylized fact empirically verified in the lending view literature. (c) 2005 Elsevier B.V. All rights reserved.
引用
收藏
页码：1105 / 1130
页数：26
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