Collateral Constraints in the Kiyotaki-Moore Model: Evidence from the Regional Land Price

Takuma Kunieda and Kei Kuwahara ()
Additional contact information
Kei Kuwahara: Kunieda Laboratory in School of Economics, Kwansei Gakuin University

No 300, Discussion Paper Series from School of Economics, Kwansei Gakuin University

Abstract: This paper empirically examines collateral constraints in the Kiyotaki and Moore [1997. Credit cycles. Journal of Political Economy 105(2), 211-248] model using land price data from three major prefectures in Japan: Tokyo, Osaka, and Hyogo. After confirming the stationarity of land prices, we estimate their dynamic equations and show that they follow a second-order autoregressive (AR(2)) process, consistent with the presence of binding collateral constraints. We further apply the supremum Wald test and identify structural breaks at the onset of the early 1990s asset price bubble collapse. These results suggest that financial frictions played a critical role in shaping land price dynamics in Japan's regional economies. Overall, our findings demonstrate that the Kiyotaki-Moore framework provides a useful tool for capturing the dynamic behavior of financially constrained economies. By providing new regional evidence, this study contributes to the literature on macroeconomics and financial market imperfections.

Keywords: Collateral Constraints; Financial Frictions; Land Price Dynamics; Kiyotaki-Moore Model; Credit Cycles; Regional Economies. (search for similar items in EconPapers)
JEL-codes: E32 E44 G12 R30 (search for similar items in EconPapers)
Pages: 25 pages
Date: 2025-09
References: Add references at CitEc
Citations:

Downloads: (external link)
http://192.218.163.163/RePEc/pdf/kgdp300.pdf First version, 2025 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:kgu:wpaper:300

Access Statistics for this paper

More papers in Discussion Paper Series from School of Economics, Kwansei Gakuin University Contact information at EDIRC.
Bibliographic data for series maintained by Toshihiro Okada ().