Format du dépôt |
Fichier |
Type de dépôt |
Article dans une revue |
Titre |
en
The inverted leading indicator property and redistribution effect of the interest rate
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Résumé |
en
The interest rate at which US firms borrow funds has two features: (i) it moves in a countercyclical fashion and (ii) it is an inverted leading indicator of real economic activity: low interest rates today forecast future booms in GDP, consumption, investment, and employment. We show that a Kiyotaki–Moore model accounts for both properties when interest-rate movements are driven, in a significant way, by self-fulfilling belief shocks that redistribute income away from lenders and to borrowers during booms. The credit-based nature of such self-fulfilling equilibria is shown to be essential: the dynamic correlation between current loanable funds rate and future aggregate economic activity depends critically on the property that the interest rate is state-contingent. Bayesian estimation of our benchmark DSGE model on US data shows that the model driven by redistribution shocks results in a better fit to the data than both standard RBC models and Kiyotaki–Moore type models with unique equilibrium.
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Auteur(s)
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Patrick Pintus
1
, Yi Wen
2
, Xiaochuan Xing
3
1
AMSE -
Aix-Marseille Sciences Economiques
( 526949 )
- 5-9 Boulevard Bourdet
CS 50498
13205 Marseille Cedex 1
- France
-
École des hautes études en sciences sociales UMR7316 ( 99539 )
;
-
Aix Marseille Université UMR7316 ( 198056 )
;
-
École Centrale de Marseille UMR7316 ( 300415 )
;
-
Centre National de la Recherche Scientifique UMR7316 ( 441569 )
2
Shanghai Jiao Tong University [Shanghai]
( 233961 )
- 800 Dongchuan Road, Shanghai, 200240
- Chine
3
Balyasny Asset Management L.P
( 1124907 )
- États-Unis
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Licence |
Paternité - Pas d'utilisation commerciale - Pas de modification
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Langue du document |
Anglais
|
Nom de la revue |
|
Vulgarisation |
Non
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Comité de lecture |
Oui
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Audience |
Internationale
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Date de publication |
2022-09
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Date de publication électronique |
2022-07-08
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Volume |
148
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Page/Identifiant |
104219
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URL éditeur |
https://www.sciencedirect.com/science/article/pii/S0014292122001283
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Domaine(s) |
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Sciences de l'Homme et Société/Economies et finances
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Mots-clés (JEL) |
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E - Macroeconomics and Monetary Economics/E.E2 - Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy/E.E2.E21 - Consumption • Saving • Wealth
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E - Macroeconomics and Monetary Economics/E.E2 - Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy/E.E2.E22 - Investment • Capital • Intangible Capital • Capacity
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E - Macroeconomics and Monetary Economics/E.E3 - Prices, Business Fluctuations, and Cycles/E.E3.E32 - Business Fluctuations • Cycles
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E - Macroeconomics and Monetary Economics/E.E4 - Money and Interest Rates/E.E4.E44 - Financial Markets and the Macroeconomy
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E - Macroeconomics and Monetary Economics/E.E6 - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook/E.E6.E63 - Comparative or Joint Analysis of Fiscal and Monetary Policy • Stabilization • Treasury Policy
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Projet(s) ANR |
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Mots-clés |
en
Endogenous collateral constraints, State-contingent interest rate, Redistribution shocks, Multiple equilibria
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DOI |
10.1016/j.euroecorev.2022.104219 |
UT key WOS |
000838584700016 |