Quantity rationing of credit and the Phillips curve

George Waters

Journal of Macroeconomics, 2013, vol. 37, issue C, 68-80

Abstract: Quantity rationing of credit, when some firms are denied loans, has macroeconomic effects not fully captured by measures of borrowing costs. This paper develops a monetary DSGE model with quantity rationing and derives a Phillips curve relation where inflation dynamics depend on excess unemployment, a risk premium and the fraction of firms receiving financing. Excess unemployment is defined as that which arises from disruptions in credit flows. GMM estimates using data from a survey of bank managers confirms the importance of these variables for inflation dynamics.

Keywords: Quantity rationing; Phillips curve; Unemployment; GMM (search for similar items in EconPapers)
JEL-codes: E24 E31 E51 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (5)

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Working Paper: Quantity Rationing of Credit and the Phillips Curve (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jmacro:v:37:y:2013:i:c:p:68-80

DOI: 10.1016/j.jmacro.2013.05.007

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