relation: https://publications.ut-capitole.fr/id/eprint/32905/
title: Costly default and asymetric real business cycles
creator: Fève, Patrick
creator: Garcia Sanchez, Pablo
creator: Moura, Alban
creator: Pierrard, Olivier
subject: B- ECONOMIE ET FINANCE
description: We augment a simple Real Business Cycle model with financial intermediaries that may default on their liabilities and a financial friction generating social costs of default. We provide a closed-form solution for the general equilibrium of the economy under specific assumptions, allowing for analytic results and straightforward simulations. Endogenous default generates asymmetric business cycles and our model replicates both the negative skew of GDP and the positive skew of credit spreads found in US data. Stronger financial frictions cause a rise in asymmetry and amplify the welfare costs of default. A Pigouvian tax on financial intermediation mitigates most of these negative effects at the cost of a steady-state distortion.
publisher: TSE Working Paper
date: 2019-11
type: Monograph
type: NonPeerReviewed
format: text
language: en
identifier: https://publications.ut-capitole.fr/id/eprint/32905/1/wp_tse_1048.pdf
identifier:   Fève, Patrick <https://www.idref.fr/080518311>, Garcia Sanchez, Pablo, Moura, Alban and Pierrard, Olivier  (2019) Costly default and asymetric real business cycles.  TSE Working Paper, n. 19-1048, Toulouse     
relation: https://www.tse-fr.eu/sites/default/files/TSE/documents/doc/wp/2019/wp_tse_1048.pdf
language: en