Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/298286 
Erscheinungsjahr: 
2022
Schriftenreihe/Nr.: 
Working Paper No. 119
Verlag: 
Università Cattolica del Sacro Cuore, Dipartimento di Economia e Finanza (DISCE), Milano
Zusammenfassung: 
We explore the intertwined dynamics of asset prices and the macroeconomy in a Behavioural model of Credit Cycles (BCC) characterized by a credit friction à la Kiyotaki and Moore and heterogeneous expectations cum heuristic switching à la Brock and Hommes. This behavioural approach allows to better understand and replicate the effects of shocks. In the absence of actual defaults, following a positive productivity shock, our behavioural model (BCC Mark I) generates hump-shaped impulse-response functions that are more realistic than those generated by the same shock in a corresponding model with rational expectations (RCC). When the behavioural model allows also for defaults (BCC Mark II), a productivity shock triggers ample and persistent fluctuations (if the intensity of choice of the lender is sufficiently high), a feature that is absent in BCC Mark I (and of course in RCC).
Schlagwörter: 
Credit Market
Collateral Constraints
Heterogeneous Expectations
Bankruptcy
Boom Bust Cycles
JEL: 
E32
E44
D84
Dokumentart: 
Working Paper

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