Bibliographies thématiques / Occasionally binding collateral constraints

Littérature scientifique sur le sujet « Occasionally binding collateral constraints »

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Publié le 11 mars 2023

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Articles de revues sur le sujet "Occasionally binding collateral constraints"

Jensen, Henrik, Ivan Petrella, Søren Hove Ravn et Emiliano Santoro. « Leverage and Deepening Business-Cycle Skewness ». American Economic Journal : Macroeconomics 12, n^o 1 (1 janvier 2020) : 245–81. http://dx.doi.org/10.1257/mac.20170319.

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We document that the United States and other G7 economies have been characterized by an increasingly negative business-cycle asymmetry over the last three decades. This finding can be explained by the concurrent increase in the financial leverage of households and firms. To support this view, we devise and estimate a dynamic general equilibrium model with collateralized borrowing and occasionally binding credit constraints. Improved access to credit increases the likelihood that financial constraints become nonbinding in the face of expansionary shocks, allowing agents to freely substitute inter-temporally. Contractionary shocks, however, are further amplified by drops in collateral values, since constraints remain binding. As a result, booms become progressively smoother and more prolonged than busts. Finally, in line with recent empirical evidence, financially driven expansions lead to deeper contractions, as compared with equally sized nonfinancial expansions. (JEL D14, E23, E32, E44)

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HOLDEN, TOM D., PAUL LEVINE et JONATHAN M. SWARBRICK. « Credit Crunches from Occasionally Binding Bank Borrowing Constraints ». Journal of Money, Credit and Banking 52, n^o 2-3 (13 janvier 2019) : 549–82. http://dx.doi.org/10.1111/jmcb.12601.

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Cuba‐Borda, Pablo, Luca Guerrieri, Matteo Iacoviello et Molin Zhong. « Likelihood evaluation of models with occasionally binding constraints ». Journal of Applied Econometrics 34, n^o 7 (2 septembre 2019) : 1073–85. http://dx.doi.org/10.1002/jae.2729.

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Christiano, Lawrence J., et Jonas D. M. Fisher. « Algorithms for solving dynamic models with occasionally binding constraints ». Journal of Economic Dynamics and Control 24, n^o 8 (juillet 2000) : 1179–232. http://dx.doi.org/10.1016/s0165-1889(99)00016-0.

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Cao-Alvira, José J. « Finite Elements in the Presence of Occasionally Binding Constraints ». Computational Economics 35, n^o 4 (18 février 2010) : 355–70. http://dx.doi.org/10.1007/s10614-010-9203-5.

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Brzoza-Brzezina, Michał, Marcin Kolasa et Krzysztof Makarski. « A penalty function approach to occasionally binding credit constraints ». Economic Modelling 51 (décembre 2015) : 315–27. http://dx.doi.org/10.1016/j.econmod.2015.07.021.

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Brumm, Johannes, et Michael Grill. « Computing equilibria in dynamic models with occasionally binding constraints ». Journal of Economic Dynamics and Control 38 (janvier 2014) : 142–60. http://dx.doi.org/10.1016/j.jedc.2013.09.007.

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Abo-Zaid, Salem. « Optimal long-run inflation with occasionally binding financial constraints ». European Economic Review 75 (avril 2015) : 18–42. http://dx.doi.org/10.1016/j.euroecorev.2015.01.004.

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Li, Shuyun May, et Scott Dressler. « Business cycle asymmetry via occasionally binding international borrowing constraints ». Journal of Macroeconomics 33, n^o 1 (mars 2011) : 33–41. http://dx.doi.org/10.1016/j.jmacro.2010.09.007.

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Dixon, Huw, et Panayiotis M. Pourpourides. « On imperfect competition with occasionally binding cash-in-advance constraints ». Journal of Macroeconomics 50 (décembre 2016) : 72–85. http://dx.doi.org/10.1016/j.jmacro.2016.09.002.

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Thèses sur le sujet "Occasionally binding collateral constraints"

BASSANIN, MARZIO. « Essays in Macro-Financial Linkages ». Doctoral thesis, Luiss Guido Carli, 2019. http://hdl.handle.net/11385/201073.

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This thesis consists in three essays that study the linkages between real and financial factors from different perspectives. Chapter 1, co-authored with Ester Faia and Valeria Patella, introduces a full set of ambiguity attitudes, which endogenously induces agents' optimism in booms and pessimism in recessions, in a model where borrowers face occasionally binding collateral constraints. We use GMM techniques with latent value functions to estimate the ambiguity attitudes process, showing that agents update their belief over the credit cycle in a way coherent with our preferences specification. By simulating a crisis scenario, we show that optimism in booms is responsible for strong leverage build-up before the crises while pessimism in recessions implies sharper de-leveraging and asset price bursts. Analytically and numerically, using global non-linear methods, we show that our ambiguity attitudes coupled with the collateral constraints help to explain relevant asset price and leverage cycle facts around the unfolding of financial crises. Chapter 2, co-authored with Carmelo Salleo, studies the strategic interactions between monetary and macroprudential authorities through the lens of an open-economy monetary model featuring trade and financial ows between two symmetric countries. Characterizing a set of Within-Country Cooperative and Nash Equilibria for different degrees of trade and financial integration, the analysis identifies large costs associated to the strategic interaction between the domestic authorities. Moreover, the gains from cooperation are strongly affected by the degree of cross-country integration and by the channel through which the integration is realized: larger trade ows reduce the gains, while higher financial globalization makes cooperation more valuable. Then, moving to a Between-Countries Cooperative and Nash Equilibria analysis, we confirm that cooperation is beneficial from both the country-specific and the global perspective. Chapter 3, co-authored with Javier Ojea Ferreiro and Elena Rancoita proposes an innovative methodology for the design of adverse scenarios for macroprudential policies calibration and impact assessment. Our methodology allows building tailored scenarios characterized by two main features. First, there is a stable and transparent mapping of the cyclical systemic risk level into the path of the scenario's target variables, which are those variables that determine the overall scenario's severity. Second, the path of the other complementary variables is calibrates with a multivariate copula model estimated with macro and financial data (MacroFin Copula). Simulating the model for Euro Area countries, we show that our methodology is able to calibrate adverse scenarios that properly replicate the global financial crises dynamics in terms of severity and co-movement between the key macroeconomic and financial variables.

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Mary, Sébastien. « A dynamic stochastic farm household model with occasionally binding debt constraints and investment adjustment costs : assessing the impacts of direct farm payments and common agriculture policy reforms in French arable crop farms ». Thesis, University of Aberdeen, 2010. http://digitool.abdn.ac.uk:80/webclient/DeliveryManager?pid=158412.

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Traditionally, the Common Agricultural Policy has used minimum intervention prices and coupled payments to support farmers in Europe. These highly trade-distorting instruments have received much criticism. Following the Uruguay Round, a major reform process started in the EU. In 2003, the EU decoupled farm support by introducing Single Farm Payments. However, economic theory has shown that such payments may lead to increases in farm output because of the existence of market imperfections or risk. This thesis explores the issue of farm support for the case of crops farm households in France. It develops and applies a stochastic dynamic farm household model for a representative crops farm household. The farm household faces occasionally binding debt constraints and investment adjustment costs. The model is specified and parameterized to a sample of French crops farms using Farm Accountancy Data Network (FADN) data observed between 1996 and 2003. Simulations with various policy scenarios show the extent to which farm support and especially decoupled payments affect the farm household’s decisions. First, the thesis examines the impact of CAP reforms on farm behaviour. Then, the thesis compares the impacts of different farm payments, i.e. Single Farm Payments, farm payments coupled to production and Counter-cyclical Payments, to explore the link between investment and farm payment. Further, the thesis highlights that the degree of decoupling of farm payments depends on the farm household’s access to credit. Although Single Farm Payments may potentially affect output decisions, given the relatively low impacts found in the thesis, it is reasonable to consider that the Single Farm Payment is effectively decoupled in this French FADN sample of arable crops farms. The introduction of decoupled direct payments in the EU appears to be an efficient step towards reducing trade distortions.

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Livres sur le sujet "Occasionally binding collateral constraints"

Barthélemy, Jean, et Magali Marx. Solving Rational Expectations Models. Sous la direction de Shu-Heng Chen, Mak Kaboudan et Ye-Rong Du. Oxford University Press, 2018. http://dx.doi.org/10.1093/oxfordhb/9780199844371.013.6.

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This chapter presents theoretical foundations of main methods of solving rational expectations models with a special focus on perturbation approaches. First, it gives some insights into the solution methods for linear models. Second, it shows how to use the perturbation approach for solving nonlinear models. It then documents the limits of this approach. The perturbation approach, though the most common solution method in the macroeconomic literature, is inappropriate in contexts of large fluctuations (large shocks or regime switching) and of strong nonlinearities (e.g., occasionally binding constraints). The former case is illustrated by regime switching models. The latter case is illustrated by a study of existing methods for solving rational expectations models under the zero lower bound constraint, that is, the condition of non-negativity of the nominal interest rate. The chapter concludes with a presentation of global methods available when the perturbation approach fails in solving models.

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Chapitres de livres sur le sujet "Occasionally binding collateral constraints"

Stum, E. A., et T. Gleichmann. « Soaking Techniques ». Dans Crystallization of Nucleic Acids and Proteins. Oxford University Press, 1999. http://dx.doi.org/10.1093/oso/9780199636792.003.0017.

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Once crystals of a macromolecule are obtained there are many circumstances where it is necessary to change the environment in which the macromolecule is bathed. Such changes include the addition of inhibitors, activators, substrates, products, cryo-protectants, and heavy atoms to the bathing solution to achieve their binding to the macromolecule, which may have sufficient freedom to undergo some conformational changes in response to these effectors. In fact, macromolecular crystals have typically a high solvent content which ranges from 27-95% (1, 2). Although, part of this solvent, ‘bound solvent’ (typically 10%) is tightly associated with the protein matrix consisting of both water molecules and other ions that occupy well defined positions in refined crystal structure it can be replaced in soaking experiments, at a slower rate compared to the ‘free solvent’. In this chapter we will consider the relative merits of various methods for modifying crystals, the restraints that the lattice may impose on the macromolecule, and the relative merits of soaking compared to co-crystallization. The size and configuration of the channels within the lattice of macromolecular crystals will determine the maximum size of the solute molecules that may diffuse in. The solvent channels are sufficiently large to allow for the diffusion of most small molecules to any part of the surface of the macromolecule accessible in solution except for the regions involved in crystal contacts, although in some cases lattice forces may hinder conformational changes or rearrangements of the macromolecule in crystal. In other cases, the forces that drive the conformational changes can be sufficient to overcome the constraints imposed by the crystalline lattice leading to the disruption of intermolecular and crystal contacts resulting in the cracking and dissolution of the crystals. Some lattices may be more flexible and capable of accommodating conformational changes, and while crystals may crack initially, they may subsequently anneal into a new rearrangement and occasionally improve their crystallinity. In general small changes are easily accommodated and many macromolecules maintain their activity in the crystalline state. This is exploited in time-resolved crystallography to obtain structural information of transition states of enzymes.

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Rapports d'organisations sur le sujet "Occasionally binding collateral constraints"

Aruoba, S. Borağan, Marko Mlikota, Frank Schorfheide et Sergio Villalvazo. SVARs With Occasionally-Binding Constraints. Cambridge, MA : National Bureau of Economic Research, mars 2021. http://dx.doi.org/10.3386/w28571.

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Aruoba, S. Borağan, Pablo Cuba-Borda, Kenji Higa-Flores, Frank Schorfheide et Sergio Villalvazo. Piecewise-Linear Approximations and Filtering for DSGE Models with Occasionally Binding Constraints. Cambridge, MA : National Bureau of Economic Research, octobre 2020. http://dx.doi.org/10.3386/w27991.

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Mendoza, Enrique, et Sergio Villalvazo. FiPIt : A Simple, Fast Global Method for Solving Models with Two Endogenous States & ; Occasionally Binding Constraints. Cambridge, MA : National Bureau of Economic Research, septembre 2019. http://dx.doi.org/10.3386/w26310.

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