學(xué)術(shù)講座：Credit Bubbles in an Economy with Heterogeneous Firms

金融學(xué)院SBF論壇2019年第1講

 

講座題目：Credit Bubbles in an Economy with Heterogeneous Firms

時(shí)間：2月25日（周一）12:20-13:30

地點(diǎn)：博學(xué)樓925

主講人：湯皓州

主講人簡介：

湯皓州，本科畢業(yè)于對(duì)外經(jīng)濟(jì)貿(mào)易大學(xué)，博士畢業(yè)于龐培法布拉大學(xué)?，F(xiàn)于墨西哥央行金融風(fēng)險(xiǎn)監(jiān)管部門擔(dān)任經(jīng)濟(jì)學(xué)家，研究領(lǐng)域?yàn)楹暧^經(jīng)濟(jì)學(xué)及資產(chǎn)市場(chǎng)泡沫。論文曾在2018 Annual Meeting of the Society for Economic Dynamics，2018 European Winter Meeting of the Econometric Society, 以及2017 Asian Meeting of the Econometric Society等國際會(huì)議上宣講。

講座內(nèi)容簡介：

Abstract：

I develop a business cycle model with financial frictions, endogenous firm entry and exit, and heterogeneous firms that have the possibility to renew credit bubbles. Credit bubbles are the credits that are backed by the expectation of future credits rather than future profits. Firms are subject to idiosyncratic bubble crashes, which are linked to defaults. I formalize an aggregate sentiment-underlied financial shock by introducing a time-varying probability of idiosyncratic bubble crashes. As the probability decreases, firms find it more likely to renew their credit bubbles, and thereby less likely to default on debt and exit the market. When calibrated to data, the model implies that bubbles boost capital accumulation in new firms, but depress it in aged firms. The model also produces a protracted increase in output and credit following a short-lived positive sentiment shock. During the boom, the number of firms increases, the allocative efficiency improves, whereas the average size and productivity of firms decrease.

本文構(gòu)造了一個(gè)包含異質(zhì)企業(yè)、金融摩擦、內(nèi)生的企業(yè)進(jìn)入與退出的經(jīng)濟(jì)周期模型。企業(yè)債務(wù)中包含信貸泡沫，信貸泡沫的破裂會(huì)增大企業(yè)債務(wù)違約以及退出市場(chǎng)的概率。通過引入隨機(jī)的泡沫破裂概率，本文研究市場(chǎng)樂觀或者悲觀情緒沖擊對(duì)于經(jīng)濟(jì)周期的影響，并發(fā)現(xiàn)當(dāng)泡沫破裂概率降低時(shí)，企業(yè)的違約概率下降。量化分析的結(jié)果表明信貸泡沫會(huì)增加新企業(yè)的投資，同時(shí)降低老企業(yè)的投資。市場(chǎng)樂觀情緒沖擊會(huì)增加市場(chǎng)的信貸、產(chǎn)出及企業(yè)數(shù)量，改善市場(chǎng)配置的效率，但同時(shí)會(huì)降低企業(yè)的平均規(guī)模以及平均生產(chǎn)率。