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Do Capital Market Imperfections Exacerbate Output Fluctuations ?

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Author Info
Philippe BACCHETTA
CRamon CAMINAL

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Abstract

We develop a dynamic general equilibrium macroeconomic model where a proportion of firms are credit constrained due to asymmetric information. In general, a macroeconomic shock has additional effects created by a reallocation of funds between credit-constrained and unconstrained firms. We show, however, that the output response to shocks is not necessarily amplified and can be dampened by the presence of asymmetric information.

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Publisher Info
Paper provided by Université de Lausanne, Faculté des HEC, DEEP in its series Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) with number 9612.

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Length: 30 pages
Date of creation: May 1996
Date of revision:
Publication status: Published in European Economic Review, vol.44, 2000, pp. 449-468
Handle: RePEc:lau:crdeep:9612

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Postal: Université de Lausanne, Faculté des HEC, DEEP, Internef, CH-1015 Lausanne
Phone: ++41 21 692.33.64
Fax: ++41 21 692.33.65
Web page: http://www.hec.unil.ch/deep/publications-english/e-cahiers.htm

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Related research
Keywords: credit market imperfection; agency costs; business cycles;

Other versions of this item:

Find related papers by JEL classification:
E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

Cited by:
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  1. Pavlos Petroulas, 2007. "Short -Term Capital Flows and Growth in Developed and Emerging Markets," Working Papers 60, Bank of Greece. [Downloadable!]
  2. Fabio ALESSANDRINI, 2003. "Introducing Capital Structure in a Production Economy: Implications for Investment, Debt and Dividends," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 03.03, Université de Lausanne, Faculté des HEC, DEEP. [Downloadable!]
  3. Frederic Boissay, 2001. "Credit rationing, output gap, and business cycles," Working Paper Series 087, European Central Bank. [Downloadable!]
  4. Aghion, Philippe & Bacchetta, Philippe & Banerjee, Abhijit, 1999. "Capital Markets and the Instability of Open Economies," CEPR Discussion Papers 2083, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Other versions:
  5. Santiago Carbó Valverde & Rafael López del Paso, 2009. "Bank-lending channel and non-financial firms: evidence for Spain," Spanish Economic Review, Springer, vol. 11(2), pages 125-140, June. [Downloadable!] (restricted)
  6. Harris Dellas & Martin K. Hess, 2002. "Financial development and stock returns: A cross country analysis," Diskussionsschriften dp0218, Universitaet Bern, Departement Volkswirtschaft. [Downloadable!]
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  7. Ramon Caminal & Carmen Matutes, 2002. "Can competition in the credit market be excessive?," UFAE and IAE Working Papers 527.02, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC). [Downloadable!]
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  8. Roland Meeks, 2004. "Is collateralised borrowing an amplification mechanism?," Money Macro and Finance (MMF) Research Group Conference 2003 64, Money Macro and Finance Research Group. [Downloadable!]
  9. Fabio ALESSANDRINI, 2003. "Some Additional Evidence from the Credit Channel on the Response to Monetary Shocks: Looking for Asymmetries," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 03.04, Université de Lausanne, Faculté des HEC, DEEP. [Downloadable!]
  10. Raddatz, Claudio, 2003. "Liquidity needs and vulnerability to financial udnerdevelopment," Policy Research Working Paper Series 3161, The World Bank. [Downloadable!]
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  11. Beck, Thorsten & Fuchs, Michael & Uy, Marilou, 2009. "Finance in Africa - Achievements and Challenges," Policy Research Working Paper Series 5020, The World Bank. [Downloadable!]
  12. David Aadland, 2002. "Detrending Time-Aggregated Data," Macroeconomics 0301007, EconWPA. [Downloadable!]
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  13. Franz R. Hahn, 2003. "Financial Development and Macroeconomic Volatility. Evidence from OECD Countries," WIFO Working Papers 198, WIFO. [Downloadable!]
  14. Christopher L. House, 2002. "Adverse Selection and the Accelerator," Macroeconomics 0211015, EconWPA. [Downloadable!]
  15. Francisco Alcalá & Diego Peñarrubia, 2000. "Economic Booms, Trade Deficits, and Economic Policy," Economics Working Papers 397, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
  16. Beck, Thorstein & Lundberg, Mattias & Majnoni, Giovanni, 2001. "Financial intermediary development and growth volatility : do intermediaries dampen or magnify shocks?," Policy Research Working Paper Series 2707, The World Bank. [Downloadable!]
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  17. Ronel Elul, 2005. "Collateral, credit history, and the financial decelerator," Working Papers 05-23, Federal Reserve Bank of Philadelphia. [Downloadable!]
  18. Claudia M. Buch, 2002. "Business Cycle Volatility and Globalization: A Survey," Kiel Working Papers 1107, Kiel Institute for the World Economy. [Downloadable!]
  19. Santiago Carbó Valverde & Rafael López del Paso, 2005. "Do non-financial firms react to monetary policy actions as banks do?," ThE Papers 05/03, Department of Economic Theory and Economic History of the University of Granada.. [Downloadable!]
  20. Philippe Aghion & Philippe Bacchetta & Abhijit Banerjee, 2004. "Financial Development and the Instability of Open Economies," NBER Working Papers 10246, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  21. Mallick, Debdulal, 2009. "Financial Development, Shocks, and Growth Volatility," MPRA Paper 17799, University Library of Munich, Germany. [Downloadable!]
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This page was last updated on 2009-11-22.

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