Effects of inflation uncertainty on credit markets: A disequilibrium approach
Başlık çevirisi mevcut değil.
- Tez No: 400535
- Danışmanlar: Belirtilmemiş.
- Tez Türü: Doktora
- Konular: Ekonomi, Economics
- Anahtar Kelimeler: Belirtilmemiş.
- Yıl: 1999
- Dil: İngilizce
- Üniversite: University of North Carolina at Chapel Hill
- Enstitü: Yurtdışı Enstitü
- Ana Bilim Dalı: Ekonomi Ana Bilim Dalı
- Bilim Dalı: Belirtilmemiş.
- Sayfa Sayısı: 109
Özet
Özet yok.
Özet (Çeviri)
While average levels of inflation have been constantly declining in the industrial countries, developing countries have been plagued with higher levels of inflation and inflation uncertainty. The adverse effects of inflation uncertainty on financial markets (Mexico 1986-89, Turkey 1979-81, etc.) have attracted substantial research attention. This analysis advances the inflation uncertainty literature by adding the possibility of excess demand to facilitate examination of the impact of uncertainty upon both sides of credit markets. An excess demand model not only provides a more precise characterization of. the effects of inflation uncertainty on loan demand and supply, but also yields different coefficient values due to the Lucas critique. Rather than using credit rationing or inflexible price arguments in the creation of disequilibrium, the ensuing analysis utilizes the interaction of stochastic loan repayment and risk aversion as grounds for disequilibrium. This creates a non-monotonic loan supply and a basis for excess demand in credit markets enabling us to analyze both sides of the credit market even when the demand is unobservable. With this approach, banks are affected by a combination of credit and interest rate risks while firms face real return uncertainty. In such a setting inflation uncertainty adversely affects both sides of the market. Empirical results support the backward bending loan supply claim for some of the countries used in the analysis. Examining firm responses toward the variance of returns shows the existence of risk-averse behavior in financial firms. In addition to these findings, inflation uncertainty seems to affect the credit markets either indirectly through its impact on loan rates or directly by quantity effects. With a view toward previous assertions in the model concerning both sides being adversely affected, the magnitudes of the changes are aggregated to exhibit increases in disequilibrium with higher inflation fluctuations. The effect of financial market liberalization on disequilibrium is also analyzed to demonstrate that deregulation alone does not ensure credit market equilibrium, but has to be accompanied by measures to reduce uncertainty levels. Finally, the results of all estimations are compared for developing and developed country financial markets.
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