Abstract
This study examines the impact of credit constraints on the term premium in a production economy. To do so, we incorporate the Kiyotaki-Moore collateral constraint and Epstein-Zin-Weil preferences into a medium-scale New Keynesian Dynamic Stochastic General Equilibrium (NK DSGE) model with nominal rigidity. Our findings are twofold. First, credit constraint, a key ingredient of the financial accelerator channel, has significant effects on the term premium. Second, the loan-to-value ratio has non-linear effects on the term premium.
| Original language | English |
|---|---|
| Pages (from-to) | 1599-1607 |
| Number of pages | 9 |
| Journal | Applied Economics Letters |
| Volume | 31 |
| Issue number | 17 |
| DOIs | |
| State | Published - 2024 |
UN SDGs
This output contributes to the following UN Sustainable Development Goals (SDGs)
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SDG 8 Decent Work and Economic Growth
Keywords
- bond premium
- Collateral constraint
- DSGE models
- Epstein-zin preferences
Quacquarelli Symonds(QS) Subject Topics
- Economics & Econometrics
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