912期 6月13日 :Default Cycles(Wei Cui, 助理教授, Department of Economics, University College London)
上海财经大学经济学院
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912期 6月13日 :Default Cycles(Wei Cui, 助理教授, Department of Economics, University College London)

【主讲】Wei Cui (助理教授, Department of Economics, University College London)

【主题】Default Cycles

【时间】2018年6月13日 (周三) 15:30-17:00

【地点】上海财经大学经济学院楼702室

【语言】英文

【摘要】Recessions are often accompanied by spikes of corporate default and prolonged declines of business credit. This paper argues that credit and default cycles are outcomes of variations in self-fulfilling beliefs about credit market conditions. We develop a tractable macroeconomic model in which credit contracts reflect the expected default risk of borrowing firms. We calibrate the model to evaluate the macroeconomic impact of sunspots and fundamental shocks. Self-fulfilling changes in credit market expectations generate sizable reactions in default rates and endogenously persistent credit and output cycles. Credit market shocks account for half of the variation of U.S. output growth during 1982–2015.

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