View
215
Download
0
Tags:
Embed Size (px)
Citation preview
MACROECONOMIC IMPLICATIONS OF
FINANCIAL CONSTRAINTS
2. Dual role of physical assets as input and collateral.3. LAPM.
10th set of transparencies for ToCF
2
KIYOTAKI - MOORE JPE 1997
Basic idea: one store of value, that is also an input into production process. "Commercial real estate", price p at date
possibility of multiple equilibria (and cycles)
3
MODEL
Preferences: All agents have linear preferences:
Can be used as
Commercial Residential
Only store of value
Two classes of agents
receive endowment at beginning of Investors:
Two goods : Non durable ( endowment each period)
Durable: real estate A units
Entrepreneurs: no endowment must borrow entire investment (non durable good); but can hold real estate from last period (actually hold entire real estate in equilibrium).
4
Production technology
Entrepreneur starting at t with a units of real estate. Invests / borrows i of date-t good. Requires of commercial real estate. rented as residential real estate at rental rate income
demand for residential real estate
date t
consumption of residential real estate
Contract• Rb in case of success + assets a to borrower• lenders receive
a in case of failure
if success
5
No aggregate uncertainty deterministic path
End-of-period market for real estate investors sell assets they have seized successful entrepreneurs buy more
Continuation valuation of an entrepreneur starting with a at the beginning of date t :
arbitrage
and
Equilibrium
Debt capacity:
6
where
or
Real estate market
Note: (net suppliers)
7
8
MACROECONOMIC IMPLICATIONS OF FINANCIAL CONSTRAINTS
3. LAPM : Liquidity Premia and Asset Pricing
9
10
11
12
13
14
15
16
17
18
19
20
21
22