True, it is already represented in Civ4. And it was represented in Civ2 in some way, by establishing a government (Fundamentalism) that had all the advantages, recognizing by that that Democracies or Republics were not the ultimate type of government. (even if I think the type of governments does have little to see with economic regime, like Capitalism/Communism)
I think that the OP wanted to simulate the limits of Capitalism, rather than the limits of Democracy. Now, in term of Civ4, that would be something about Civics.
As said frizzy, it is possible in Civ4 to go bankrupt, but it's IMO a little too early. A matured civ does not suffers from bankrupt. Maybe it should change; Maybe, things like Inflation should play a stronger role. And possibly add some more variables. Government changes may have to happen in order to counter some of those variables going nuts. Could be interesting.
For example, add a viariable "private benefits" that goes very high under Capitalism. (need to change some civcs if it goes too high)
Also, make the switching between civics more costy. Indeed, 1 turn of anarchy seems very cheap in comparison of all the administration changes it requires. For example, to switch from capitalism to communism, it would be needed to build some building in all or 5 of our cities.
Also, add a limit to the Research output. This to represent that one should not suffer too much from Science drawback in a time of economic crise. And most importantly, we should be able to do a lot more things with Gold. Like hurry/buy unit production in ALL types of government. And I don't know what.