论文标题
信用限制与不确定性冲击之间的相互作用
The Interaction Between Credit Constraints and Uncertainty Shocks
论文作者
论文摘要
信贷可用性的不确定性会引发实际活动的放缓吗？通过使用一种新颖的方法来回答这个问题，以识别获得信贷访问的不确定性的冲击。使用粒子马尔可夫链蒙特卡洛估算了关于信用可用性的不确定性的时间变化。我们对时变信用不确定性提出冲击，并将其分解为两个部分：第一个捕获了第二刻的震惊的“纯”效果；第二个捕获了不确定性的总影响，包括对第一刻的影响。使用依赖于州的本地预测，我们发现“纯”效应本身会在实际活动中产生急剧的放缓，并且效果在很大程度上是反周期性的。我们将估计的冲击物归为柔性价格实际的商业周期模型，并表明，当旁边约束结合时，信用获取的不确定性冲击是衰退，导致消费，投资和产出同时下降。
Can uncertainty about credit availability trigger a slowdown in real activity? This question is answered by using a novel method to identify shocks to uncertainty in access to credit. Time-variation in uncertainty about credit availability is estimated using particle Markov Chain Monte Carlo. We extract shocks to time-varying credit uncertainty and decompose it into two parts: the first captures the "pure" effect of a shock to the second moment; the second captures total effects of uncertainty including effects on the first moment. Using state-dependent local projections, we find that the "pure" effect by itself generates a sharp slowdown in real activity and the effects are largely countercyclical. We feed the estimated shocks into a flexible price real business cycle model with a collateral constraint and show that when the collateral constraint binds, an uncertainty shock about credit access is recessionary leading to a simultaneous decline in consumption, investment, and output.
