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来源类型 | Working Paper |
规范类型 | 报告 |
DOI | 10.3386/w22990 |
来源ID | Working Paper 22990 |
Financial Frictions and Fluctuations in Volatility | |
Cristina Arellano; Yan Bai; Patrick J. Kehoe | |
发表日期 | 2017-01-02 |
出版年 | 2017 |
语种 | 英语 |
摘要 | During the recent U.S. financial crisis, the large decline in aggregate output and labor was accompanied by both a tightening of financial conditions and a large increase in the dispersion of growth rates across firms. The tightened financial conditions manifested themselves as increases in firms' credit spreads and decreases in both equity payouts and debt purchases. These features motivate us to build a model in which increased volatility of firm level productivity shocks generates a downturn and worsened credit conditions. The key idea in the model is that hiring inputs is risky because financial frictions limit firms' ability to insure against shocks. Hence, an increase in idiosyncratic volatility induces firms to reduce their inputs to reduce such risk. We find that our model can generate most of the decline in output and labor in the Great Recession of 2007–2009 and the observed tightening of financial conditions. |
主题 | Macroeconomics ; Business Cycles ; Money and Interest Rates ; Financial Economics ; Corporate Finance |
URL | https://www.nber.org/papers/w22990 |
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/580664 |
推荐引用方式 GB/T 7714 | Cristina Arellano,Yan Bai,Patrick J. Kehoe. Financial Frictions and Fluctuations in Volatility. 2017. |
条目包含的文件 | ||||||
文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
w22990.pdf(488KB) | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 |
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