Liquidity, infinite horizons and macroeconomic fluctuations
Liquidity, infinite horizons and macroeconomic fluctuations
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流动性、无限视野和宏观经济波动
DOI：
10.1016/j.euroecorev.2005.01.010
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发表时间：
2006
影响因子：
2.8
通讯作者：
R. Kato
中科院分区：
文献类型：
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作者：
R. Kato
本文建立了一个可计算的动态一般均衡模型，其中企业流动性需求是内生的。在该模型中，流动性需求是由道德风险驱动的，如Holmström和Tirole（J. Politic.经济106（1998）1）。由于纳入代理成本和内生决定的流动性需求，该模型可以复制一个经验的商业周期的事实，驼峰形的动态响应的输出，这是很少观察到的标准RBC动态。此外，在该模型中，公司对金融中介机构的流动性需求（例如信贷额度）是顺周期的，而流动性依赖程度（定义为流动性需求除以公司投资）是反周期的。这些商业周期模式是一致的经验验证了在贷款的看法文学程式化的事实。
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 Holmström 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.