学术讲座：Credit Bubbles in an Economy with Heterogeneous Firms

金融学院SBF论坛2019年第1讲

 

讲座题目：Credit Bubbles in an Economy with Heterogeneous Firms

时间：2月25日（周一）12:20-13:30

地点：博学楼925

主讲人：汤皓州

主讲人简介：

汤皓州，本科毕业于对外经济贸易大学，博士毕业于庞培法布拉大学。现于墨西哥央行金融风险监管部门担任经济学家，研究领域为宏观经济学及资产市场泡沫。论文曾在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等国际会议上宣讲。

讲座内容简介：

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.

本文构造了一个包含异质企业、金融摩擦、内生的企业进入与退出的经济周期模型。企业债务中包含信贷泡沫，信贷泡沫的破裂会增大企业债务违约以及退出市场的概率。通过引入随机的泡沫破裂概率，本文研究市场乐观或者悲观情绪冲击对于经济周期的影响，并发现当泡沫破裂概率降低时，企业的违约概率下降。量化分析的结果表明信贷泡沫会增加新企业的投资，同时降低老企业的投资。市场乐观情绪冲击会增加市场的信贷、产出及企业数量，改善市场配置的效率，但同时会降低企业的平均规模以及平均生产率。