美联储-贷款价值约束的非线性效应（英）

Finance and Economics Discussion SeriesFederal Reserve Board, Washington, D.C.ISSN 1936-2854 (Print)ISSN 2767-3898 (Online)Nonlinear Effects of Loan-to-Value ConstraintsC. Bora Durdu and Sergio Villalvazo2024-081Please cite this paper as:Durdu, C. Bora, and Sergio Villalvazo (2024). “Nonlinear Effects of Loan-to-Value Con-straints,” Finance and Economics Discussion Series 2024-081. Washington: Board of Gov-ernors of the Federal Reserve System, https://doi.org/10.17016/FEDS.2024.081.NOTE: Staff working papers in the Finance and Economics Discussion Series (FEDS) are preliminarymaterials circulated to stimulate discussion and critical comment. The analysis and conclusions set forthare those of the authors and do not indicate concurrence by other members of the research staff or theBoard of Governors. References in publications to the Finance and Economics Discussion Series (other thanacknowledgement) should be cleared with the author(s) to protect the tentative character of these papers.Nonlinear Effects of Loan-to-Value Constraints∗C. Bora DurduSergio VillalvazoFederal Reserve BoardSeptember 2024AbstractThis paper investigates the impact of loan-to-value (LtV) borrowing constraints inmodels with occasionally binding credit constraints. These constraints give rise to aFisherian debt-deflation mechanism, where exogenous shocks can trigger cascadingeffects resulting in significant declines in consumption, asset prices, and borrowingreversals—characteristic of financial crises. However, recent literature challenges tra-ditional view by suggesting that collateral constraints may not always exacerbate fi-nancial disturbances but could instead foster dynamics leading to multiple equilibria.Building on this discussion, the paper explores equilibrium asset pricing models withLtV collateral constraints, identifying critical thresholds that govern asset price dy-namics, consumption patterns, and current account behaviors. Our analysis uncoversthat when the LtV limit is close to zero, tighter constraints induce smaller drops inconsumption during crises. Conversely, when the LtV limit is close to one, we ob-serve that tighter constraints induce larger drops in consumption during crises. Thenonlinear relationship between the LtV ratio and adverse effects on macroeconomicoutcomes aligns with cross-country evidence regarding the relationship between thelevel of financial development and the severity of consumption declines during crises.J.E.L. classification codes: E31, E37, E52, F41, G01.Keywords: Financial crises, Loan-to-value constraints, Debt-deflation.∗We thank Luca Guerrieri, Gaston Navarro, Alex Vardoulakis and Sarah Zoi for helpful discussions andcomments, and Julian Wang for excellent research assistance. We are also grateful for comments by confer-ence and seminar participants at the 2024 MEA and ITAM Alumni Meetings. The views expressed in thispaper are those of the authors and should not be attributed to the Board of Governors of the Federal ReserveSystem or it