금융중개부문 신용마찰과 경기변동
Business Cycle Implications of Credit Constraints in Financial Intermediation
0
조회
0
다운로드
1
인용
0
참고문헌
키워드
초록
본 연구는 신용제약 하의 금융중개부문이 교란요인에 노출될 때 초래되는 경기변동 효과를 조명한다. 금융중개부문은 상환약정의 실효성 제한으로 기업에 제한된 신용을 공급하며 동시에 가계 부문으로부터의 차입에 있어 대리인문제에 따른 내생적 레버리지제약에 직면한다. 본 연구는 이상 이중적 신용마찰을 반영한 동태일반균형모형을 수립하고 그 경쟁균형의 특성을 정성적으로 분석하였다. 기업 부문 신용접근성의 변동과 금융중개부문 순자산의 변동을 이중적 마찰에 대응하는 두 외생적 충격으로 정의하고 이들이 자원배분에 어떤 영향을 미칠 수 있는지 살펴보았다. 분석 결과, 두 요인 모두 경기변동에 비중립적인 영향을 미칠 수 있으나 그 파급경로에는 차이가 있는 것으로 나타났다. 특히 신용공급 측면으로 효과가 파급되는 금융중개부문 순자산의 변동은 상대적으로 경기 국면의 지속성을 강화시키는 것으로 나타나 금융중개부문의 부실화가 침체 국면을 장기화하는 한 가지 요인이 될 수 있음을 시사하는 것으로 보인다.
Abstract
This study examines how the credit-constrained financial intermediation sector may affect business cycles when exposed to disturbances. In the economy where only collateralized borrowing can be facilitated due to lack of commitments, financial intermediaries supply limited amount of credits to firms as lenders on the one hand, while their leverage are endogenously constrained due to moral hazard as borrowers on the other hand. This paper constructs a simple dynamic stochastic general equilibrium model which encompasses these dual credit frictions, and analyzes its equilibrium behaviors around the steady state via qualitative numerical experiments. To this end, two distinctive exogenous shocks, which are also different in their propagation mechanisms, are defined correspondingly to each friction, and the effects of these shocks on resource allocations are studied. It is evident from the analyses that both shocks may affect the characteristics of business cycle process in non-neutral manners. Also it seems that the unexpected change in financial intermediaries' net worth, the effects of which propagate through reduction in credit supply, may strengthen the persistence of business cycles. This implies that the condition of financial intermediation sector may contribute to sustained recession and weak recovery after crisis.
참고문헌 (22)
- 나원준, "유동성제약모형의 정량분석", 경제연구, 31(2), pp.79~102 (2013), 한국경제통상학회
- Bernanke, B., "Agency Costs, Net Worth, and Business Fluctuations", American Economic Review, 79(1), pp.14~31 (1989)
- Bernanke, B., "The Financial Accelerator in a Quantitative Business Cycle Framework, In Handbook of Macroeconomics", pp.1341~1393 (1999), Elsevier
- Blanchard, O., "The State of Macro", Annual Review of Economics, 1, pp.209~228 (2009)
- Boldrin, M., "Habit Persistence, Asset Returns, and the Business Cycles", American Economic Review, 91(1), pp.149~166 (2001)
- Christiano, L. J., "Government Policy, In Credit Markets and Economic Activity", mimeo, ~ (2012)
- Cooley, T. F., "Economic Growth and Business Cycles, In Frontiers of Business Cycle Research", pp.1~48 (1994), Princeton University Press
- Eggertsson, G. B., "Debt, Deleveraging, and the Liquidity Trap: A Fisher-Minsky-Koo Approach", Quarterly Journal of Economics, 127(3), pp.1469~1513 (2012)
- Gertler, M., "Macroeconomics in the Wake of the Financial Crisis", Journal of Money, Credit and Banking, 42(S.1), pp.217~219 (2010)
- Gertler, M., "A Model of Unconventional Monetary Policy", Journal of Monetary Economics, 58, pp.17~34 (2011)
- Gertler, M., "Financial Intermediation and Credit Policy in Business Cycle Analysis, In Handbook of Monetary Economics", pp.547~599 (2010), Elsevier
- Gertler, M., "Financial Crises, Bank Risk Exposure and Government Financial Policy", mimeo, ~ (2012)
- Iacoviello, M., "House Prices, Borrowing Constraints, and Monetary Policy in the Business Cycle", American Economic Review, 95(3), pp.739~764 (2005)
- Iacoviello, M., "Financial Business Cycles", mimeo, ~ (2013)
- Kiyotaki, N., "Credit Cycles", Journal of Political Economy, 105(2), pp.211~248 (1997)
- Liquidity, Business Cycles, and Monetary Policy, "Kiyotaki, N.", NBER, ~, pp.NBER Working Paper 17934 (2012)
- Maddison, A., "A Long-Run Perspective on Saving", Scandinavian Journal of Economics, 94(2), pp.181~196 (1992)
- On the Amplification Role of Collateral Constraints, "Mendicino, C.", Bank of Canada, ~, pp.Bank of Canada Working Paper 2008-23 (2008)
- Perri, F., "International Recessions", mimeo, ~ (2012)
- Leveraged Borrowing and Boom-Bust Cycles, "Pintus, P. A.", Federal Reserve Bank, ~, pp.Federal Reserve Bank of St. Louis Working Paper 2010-027C (2012)
- Sannikov, Y., "A Macroeconomic Model with a Financial Sector", Society for Economic Dynamics 2012 Meeting Paper, 507 (2012)
- Summers, R., "Improved International Comparisons of Real Product and Its Composition: 1950-1980", Review of Income and Wealth, 30(2), pp.207~262 (1984)