Replication data for: Amplification and Asymmetric Effects without Collateral Constraints

Principal Investigator(s): View help for Principal Investigator(s) Dan Cao; Guangyu Nie

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Project Citation:

Cao, Dan, and Nie, Guangyu. Replication data for: Amplification and Asymmetric Effects without Collateral Constraints. Nashville, TN: American Economic Association [publisher], 2017. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E114126V1

Project Description

Summary: The seminal contribution by Kiyotaki and Moore (1997) has spurred a vast literature on the importance of collateral constraints in propagating and amplifying shocks to the economy. However, most papers in the literature using collateral constraints assume non-state-contingent debt, i.e., markets are incomplete. To assess the relative importance of collateral constraints versus market incompleteness, we study a calibrated incomplete markets model and solve it with and without collateral constraints. We find that market incompleteness by itself plays a quantitatively significant role in the amplified and asymmetric responses of the economy, including land price and output, to exogenous shocks.

Scope of Project

JEL Classification:
      D52 Incomplete Markets
      E32 Business Fluctuations; Cycles
      E44 Financial Markets and the Macroeconomy
      L26 Entrepreneurship
      O41 One, Two, and Multisector Growth Models

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V1 [2019-10-12]

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