全球智库信息集成服务系统(G2TT): Uncertainty, Financial Frictions, and Investment Dynamics

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w20038
来源ID	Working Paper 20038
	Uncertainty, Financial Frictions, and Investment Dynamics
	Simon Gilchrist; Jae W. Sim; Egon Zakrajšek
发表日期	2014-04-10
出版年	2014
语种	英语
摘要	Micro- and macro-level evidence indicates that fluctuations in idiosyncratic uncertainty have a large effect on investment; the impact of uncertainty on investment occurs primarily through changes in credit spreads; and innovations in credit spreads have a strong effect on investment, irrespective of the level of uncertainty. These findings raise a question regarding the economic significance of the traditional "wait-and-see" effect of uncertainty shocks and point to financial distortions as the main mechanism through which fluctuations in uncertainty affect macroeconomic outcomes. The relative importance of these two mechanisms is analyzed within a quantitative general equilibrium model, featuring heterogeneous firms that face time-varying idiosyncratic uncertainty, irreversibility, nonconvex capital adjustment costs, and financial frictions. The model successfully replicates the stylized facts concerning the macroeconomic implications of uncertainty and financial shocks. By influencing the effective supply of credit, both types of shocks exert a powerful effect on investment and generate countercyclical credit spreads and procyclical leverage, dynamics consistent with the data and counter to those implied by the technology-driven real business cycle models.
主题	Macroeconomics ; Consumption and Investment ; Business Cycles ; Financial Economics ; Corporate Finance
URL	https://www.nber.org/papers/w20038
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/577712
推荐引用方式 GB/T 7714	Simon Gilchrist,Jae W. Sim,Egon Zakrajšek. Uncertainty, Financial Frictions, and Investment Dynamics. 2014.