Replication data for: Optimal Contracts, Aggregate Risk, and the Financial Accelerator
Principal Investigator(s): View help for Principal Investigator(s) Charles T. Carlstrom; Timothy S. Fuerst; Matthias Paustian
Version: View help for Version V1
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Project Citation:
Carlstrom, Charles T., Fuerst, Timothy S., and Paustian, Matthias. Replication data for: Optimal Contracts, Aggregate Risk, and the Financial Accelerator. Nashville, TN: American Economic Association [publisher], 2016. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-12-07. https://doi.org/10.3886/E116393V1
Project Description
Summary:
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This paper derives the optimal lending contract in the financial accelerator model of Bernanke, Gertler, and Gilchrist (1999), henceforth, BGG. The optimal contract includes indexation to the aggregate return on capital, household consumption, and the return to internal funds. This triple indexation results in a dampening of fluctuations in leverage and the risk premium. Hence, compared with the contract originally imposed by BGG, the privately optimal contract implies essentially no financial accelerator. (JEL D11, D81, D86, D92, E13, G31, L26)
Scope of Project
JEL Classification:
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D11 Consumer Economics: Theory
D81 Criteria for Decision-Making under Risk and Uncertainty
D86 Economics of Contract: Theory
D25 Intertemporal Firm Choice: Investment, Capacity, and Financing
E13 General Aggregative Models: Neoclassical
G31 Capital Budgeting; Fixed Investment and Inventory Studies; Capacity
L26 Entrepreneurship
D11 Consumer Economics: Theory
D81 Criteria for Decision-Making under Risk and Uncertainty
D86 Economics of Contract: Theory
D25 Intertemporal Firm Choice: Investment, Capacity, and Financing
E13 General Aggregative Models: Neoclassical
G31 Capital Budgeting; Fixed Investment and Inventory Studies; Capacity
L26 Entrepreneurship
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