Oskar A. Juul
PhD Fellow, Department of Economics, Copenhagen Business School, with research interests in quantitative macroeconomics, business cycles, computational methods, rare disasters, and financial frictions.
Working papers
Kinks and Gains from Credit Cycles
with Henrik Jensen, Søren Hove Ravn, and Emiliano Santoro
Abstract: We assess the welfare cost of business cycles in a calibrated small-open-economy model incorporating collateralized household borrowing. Business fluctuations impact credit tightness, leading to periods when households are financially unconstrained relative to a steady state characterized by a binding collateral constraint. The resulting nonlinearity in debt determination and its influence on households' consumption and saving decisions are pivotal to the emergence of a welfare gain from business cycles that overcomes conventional losses associated with uncertainty. As shocks become larger, households engage in precautionary saving to mitigate the risk of hitting against their borrowing limit. Consequently, we observe lower average debt and higher average consumption, which results in a gain from business fluctuations. Analyzing the impact of pecuniary externalities in isolation, considering an alternative timing for the price of the collateral asset, or assuming the collateral constraint not to be binding in the steady state, does not significantly alter these fundamental properties.
Timing Matters: Deterministic Debt Cycles and Collateralized Debt Contracts
Abstract: The timing of debt contracts can profoundly affect business cycles. For a small open economy with a collateral constraint that ties credit limits to the valuation of assets, the valuation timing affects the economy’s cyclical properties. Specifically, when the collateral constraint entails the current asset price, deterministic debt cycles—recurrent expansions and contractions of aggregate debt—may arise. Conversely, if the future asset price enters the collateral constraint, then such cycles cannot exist. This finding underscores the significance of timing conventions on aggregate dynamics in economies with financial accelerators. Moreover, debt cycles have implications for welfare since a social planner would seek to eliminate debt cycles in environments where they might occur.
Work in progress
Solving Endogenous Default Models: A Taylor Projection Approach
with Johannes Poeschl
Taylor Projection Approximation under Jump-Diffusion Uncertainty
with Juan Carlos Parra-Alvarez