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来源类型Working Paper
规范类型报告
DOI10.3386/w22990
来源IDWorking 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
URLhttps://www.nber.org/papers/w22990
来源智库National Bureau of Economic Research (United States)
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条目标识符http://119.78.100.153/handle/2XGU8XDN/580664
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GB/T 7714
Cristina Arellano,Yan Bai,Patrick J. Kehoe. Financial Frictions and Fluctuations in Volatility. 2017.
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