The Interaction between Credit Constraints and Uncertainty Shocks
在标准真实商业周期模型中引入信贷不确定性，发现其通过抵押约束引发预防性反应，导致产出、消费、投资等同时下降，并实证检验了这一机制。
Abstract This paper proposes a novel link between credit markets and uncertainty shocks. We introduce a role for credit uncertainty via collateral constraints in an otherwise standard real business cycle (RBC) model and show that an increase in credit uncertainty triggers a precautionary response that interacts with the collateral constraint to generate a simultaneous decline in output, consumption, investment, real wages, and hours; a feature that previous work on uncertainty shocks without credit constraints is unable to produce in a flexible‐price environment. We also empirically test the theoretical predictions and show that an unforeseen increase in credit uncertainty generates a simultaneous decline in a broad measure of real activity in recessions.