The Role of Collateral in Sudden Stop Models  

作　　者：Bingbing Dong Jieran Wu Eric Young 

机构地区：[1]Shanghai Advanced Institute of Finance(SAIF),Shanghai Jiao Tong University,China [2]School of Economics,Academy of Financial Research,and Innovation Center of Yangtze River Delta,Zhejiang University,China [3]Economics Department,University of Virginia and Research Department,Federal Reserve Bank of Cleveland,USA

出　　处：《China & World Economy》2023年第6期79-110,共32页中国与世界经济（英文版）

基　　金：the National Natural Science Foundation of China(No.72063030,72141305);the Ministry of Education Social Sciences Foundation for Youths(No.20YJC790018);the Bankard Fund for Political Economy at the University of Virginia.

摘　　要：This paper examines the role of collateral in sudden stop models that feature occasionally binding constraints and endogenous growth.It shows how different assumptions regarding the nature and valuation of collateral alter the dynamics of crisis episodes and the welfare costs of pecuniary externalities.For example,in a model with land as collateral,valuing collateral at the“expected future price”leads to substantially weaker Fisherian deflation efects than the case with collateral valued at the“current price.”However,the average size of sudden stops in the two economies are similar because households endogenously avoid the region where large sudden stops would occur.The differences between different collateral valuations and the size of sudden stops are amplified when we abstract from endogenous growth.In another case,assuming collateral is income rather than land leads to smaller sudden stops as income is less volatile than asset prices.Finally,we show that some choices lead to constrained or conditionally eficient allocations whereas others generate inefficiencies,but these inefficienciesare small.

关 键 词：COLLATERAL Fisherian deflation effect pecuniary externalities sudden stops 

分 类 号：F12[经济管理—世界经济]