eprintid: 32905
rev_number: 19
eprint_status: archive
userid: 1482
importid: 105
dir: disk0/00/03/29/05
datestamp: 2019-11-14 10:54:34
lastmod: 2021-03-13 12:38:28
status_changed: 2021-02-15 16:20:27
type: monograph
metadata_visibility: no_search
creators_name: Fève, Patrick
creators_name: Garcia Sanchez, Pablo
creators_name: Moura, Alban
creators_name: Pierrard, Olivier
creators_idrefppn: 080518311
creators_affiliation: Toulouse School of Economics
title: Costly default and asymetric real business cycles
ispublished: pub
subjects: subjects_ECO
abstract: 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.
date: 2019-11
date_type: published
publisher: TSE Working Paper
official_url: https://www.tse-fr.eu/sites/default/files/TSE/documents/doc/wp/2019/wp_tse_1048.pdf
faculty: tse
divisions: tse
keywords: Real Business Cycle model, default, financial frictions, asymmetry, skewness.
language: en
has_fulltext: TRUE
subjectsJEL: JEL_E32
subjectsJEL: JEL_E44
subjectsJEL: JEL_G21
view_date_year: 2019
full_text_status: public
monograph_type: working_paper
series: TSE Working Paper
volume: 19-1048
place_of_pub: Toulouse
pages: 48
institution: Université Toulouse 1 Capitole
department: Toulouse school of economics
book_title: TSE Working Paper
oai_identifier: oai:tse-fr.eu:123694
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citation:   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     
document_url: https://publications.ut-capitole.fr/id/eprint/32905/1/wp_tse_1048.pdf