Credit search and credit cycles

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• 作者：Feng Dong ; Pengfei Wang ; Yi Wen
• 关键词：Search frictions ; Credit utilization ; Credit rationing ; Self ; fulfilling prophecy ; Business cycles ; E22 ; E32 ; G21
• 刊名：Economic Theory
• 出版年：2016
• 出版时间：February 2016
• 年：2016
• 卷：61
• 期：2
• 页码：215-239
• 全文大小：1,104 KB
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• 作者单位：Feng Dong (1)
  Pengfei Wang (2)
  Yi Wen (3) (4)
  
  1. Antai College of Economics and Management, Shanghai Jiao Tong University, Shanghai, China
  2. Department of Economics, Hong Kong University of Science and Technology, Clear Water Bay, Hong Kong
  3. Research Department, Federal Reserve Bank of St. Louis, Saint Louis, MO, USA
  4. School of Economics and Management, Tsinghua University, Beijing, China
  
• 刊物类别：Business and Economics
• 刊物主题：Economics
  Economic Theory
  Economics
  Analysis
  
• 出版者：Springer Berlin / Heidelberg
• ISSN：1432-0479

文摘

The supply and demand of credit are not always well aligned, as is reflected in the countercyclical excess reserve-to-deposit ratio and interest spread between the lending rate and the deposit rate. We develop a search-based theory of credit allocations to explain the cyclical fluctuations in both bank reserves and interest spread. We show that search frictions in the credit market can naturally explain the countercyclical bank reserves and interest spread, as well as generate endogenous business cycles driven primarily by the cyclical utilization rate of credit resources, as long conjectured by the Austrian school of the business cycle. In particular, we show that credit search can lead to endogenous local increasing returns to scale and variable capital utilization in a model with constant returns to scale production technology and matching functions, thus providing a microfoundation for the indeterminacy literature of Benhabib and Farmer (J Econ Theory 63(1):19–41, 1994) and Wen (J Econ Theory 81(1):7–36, 1998). Keywords Search frictions Credit utilization Credit rationing Self-fulfilling prophecy Business cycles