LTV制約の非線形な効果

2024年9月公表のFRB金融経済ディスカッションシリーズ。原題は「Nonlinear Effects of Loan-to-Value Constraints」で、著者はC. Bora Durdu and Sergio Villalvazo。以下はその要旨。This paper investigates the impact of loan-to-value (LtV) borrowing constraints in models with occasionally binding credit constraints. These constraints give rise to a Fisherian debt-deflation mechanism, where exogenous shocks can trigger cascading effects resulting in significant declines in consumption, asset prices, and borrowing reversals—characteristic of financial crises. However, recent literature challenges traditional view by suggesting that collateral con

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