Several recent papers introduce different mechanisms to explain why asset bubbles are observed in periods of larger growth. These papers share common assumptions, heterogeneity among traders and credit market imperfection , but differ in the role of the bubble, used to provide liquidities or as collateral in a borrowing constraint. In this paper, we introduce heterogeneous traders by considering an overlapping generations model with households living three periods. Young households cannot invest in capital, while adults have access to investment and face a borrowing constraint. Introducing bubbles in a quite general way, encompassing the different roles they have in the existing literature, we show that the bubble may enhance growth when the borrowing constraint is binding. More significantly, our results do not depend on the-liquidity or collateral-role attributed to the bubble. We finally extend our analysis to a stochas-tic bubble, which may burst with a positive probability. Because credit and bubble are no more perfectly substitutable assets, the liquidity and collateral roles of the bubble are not equivalent. Growth is larger when bubbles play the liquidity role, because the burst of a bubble used for liquidity is less damaging to agents who invest in capital.
Are the liquidity and collateral roles of asset bubbles different?
Résumé
en
Several recent papers introduce different mechanisms to explain why asset bubbles are observed in periods of larger growth. These papers share common assumptions, heterogeneity among traders and credit market imperfection , but differ in the role of the bubble, used to provide liquidities or as collateral in a borrowing constraint. In this paper, we introduce heterogeneous traders by considering an overlapping generations model with households living three periods. Young households cannot invest in capital, while adults have access to investment and face a borrowing constraint. Introducing bubbles in a quite general way, encompassing the different roles they have in the existing literature, we show that the bubble may enhance growth when the borrowing constraint is binding. More significantly, our results do not depend on the-liquidity or collateral-role attributed to the bubble. We finally extend our analysis to a stochas-tic bubble, which may burst with a positive probability. Because credit and bubble are no more perfectly substitutable assets, the liquidity and collateral roles of the bubble are not equivalent. Growth is larger when bubbles play the liquidity role, because the burst of a bubble used for liquidity is less damaging to agents who invest in capital.
Auteur(s)
Lise Clain-Chamosset-Yvrard1
, Xavier Raurich2
, Thomas Seegmuller3
1
GATE Lyon Saint-Étienne -
Groupe d'Analyse et de Théorie Economique Lyon - Saint-Etienne
( 102550 )
- 93, chemin des Mouilles 69130 Écully
6, rue Basse des Rives 42023 Saint-Étienne cedex 02
- France
École normale supérieure de Lyon ( 6818 )
;
Université Lumière - Lyon 2 ( 33804 )
;
Université Claude Bernard Lyon 1 ( 194495 )
;
Université de Lyon ( 301088 )
;
Université Jean Monnet - Saint-Étienne ( 300284 )
;
Centre National de la Recherche Scientifique UMR5824 ( 441569 )
2
UB -
Universitat de Barcelona
( 3447 )
- Gran Via de les Corts Catalanes, 585, 08007 Barcelona
- Espagne
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 )
Vulgarisation
Non
Audience
Internationale
Comité de lecture
Oui
Date de production/écriture
2020-04-07
Langue du document
Anglais
Nom de la revue
Journal of Money, Credit and Banking
(ISSN : 0022-2879, ISSN électronique : 1538-4616)
Wiley
Publié par Wiley
http://www.ohiostatepress.org/
Revue non référencée dans Sherpa-Romeo
Lise Clain-Chamosset-Yvrard, Xavier Raurich, Thomas Seegmuller. Are the liquidity and collateral roles of asset bubbles different?. Journal of Money, Credit and Banking, 2023, 55, pp.1443-1473. ⟨10.1111/jmcb.13007⟩. ⟨halshs-04345738⟩