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Misallocation and Financial Market Frictions : Some Direct Evidence from the Dispersion in Borrowing Costs

Gilchrist, Simon - 2012

Financial market frictions distort the allocation of resources among productive units-all else equal, firms whose financing choices are affected by financial frictions face higher borrowing costs than firms with ready access to capital markets. As a result, input choices may differ...

Persistent link: https://www.econbiz.de/10013106993

Financial Intermediation, Investment Dynamics and Business Cycle Fluctuations

Ajello, Andrea - 2014

I use micro data to quantify key features of U.S. firm financing. In particular, I establish that a substantial 35% of firms' investment is funded using financial markets. I then construct a dynamic equilibrium model that matches these features and fit the model to business cycle data using...

Persistent link: https://www.econbiz.de/10013064818

Customer liquidity provision : implications for corporate bond transaction costs

Choi, Jaewon; Huh, Yesol - 2017 - Current draft: October 2017

The convention in calculating trading costs in corporate bond markets is to assume that dealers provide liquidity to non-dealers (customers) and calculate average bid-ask spreads that customers pay dealers. We show that customers often provide liquidity in corporate bond markets, and thus,...

Persistent link: https://www.econbiz.de/10011803677

The Transmission of Financial Shocks and Leverage of Financial Institutions : An Endogenous Regime Switching Framework

Hubrich, Kirstin; Waggoner, Daniel F. - 2022

We conduct a novel empirical analysis of the role of leverage of financial institutions for the transmission of financial shocks to the macroeconomy. For that purpose we develop an endogenous regime-switching structural vector autoregressive model with time-varying transition probabilities that...

Persistent link: https://www.econbiz.de/10013406093

A generalized approach to indeterminacy in linear rational expectations models

Bianchi, Francesco; Nicolò, Giovanni - 2019

We propose a novel approach to deal with the problem of indeterminacy in Linear Rational Expectations models. The … number of explosive roots in presence of indeterminacy. The solution in this expanded state space, if it exists, is always … and any degree of indeterminacy, and it can be implemented even when the boundaries of the determinacy region are unknown …

Persistent link: https://www.econbiz.de/10012181061

Credit-Crunch Dynamics with Uninsured Investment Risk

Goldberg, Jonathan E. - 2013

I study the effects of credit tightening in an economy with uninsured idiosyncratic investment risk. In the model, entrepreneurs require an equity premium because collateral constraints limit insurance. After collateral constraints tighten, the equity premium and the riskiness of consumption...

Persistent link: https://www.econbiz.de/10013081571

Institutions and Return Predictability in Oil-Exporting Countries

Aramonte, Sirio - 2015

We study whether stock market returns in oil-exporting countries can be predicted by oil price changes, and we investigate the link between predictability and the quality of each country's institutions. Returns are predictable for half the countries we consider, and predictability is stronger...

Persistent link: https://www.econbiz.de/10013024822

Credit scores, social capital, and stock market participation

Bricker, Jesse; Li, Geng - 2017

While a rapidly growing body of research underscores the influence of social capital on financial decisions and economic developments, objective data-based measurements of social capital are lacking. We introduce average credit scores as an indicator of a community's social capital and present...

Persistent link: https://www.econbiz.de/10011708125

From Many Series, One Cycle : Improved Estimates of the Business Cycle from a Multivariate Unobserved Components Model

Fleischman, Charles A. - 2011

We construct new estimates of potential output and the output gap using a multivariate approach that allows for an explicit role for measurement errors in the decomposition of real output. Because we include data on hours, output, employment, and the labor force, we are able to decompose our...

Persistent link: https://www.econbiz.de/10013118624

Measuring the Natural Rate of Interest : A Note on Transitory Shocks

Lewis, Kurt F. - 2020

We present evidence that the natural rate of interest is buffeted by both permanent and transitory shocks. We establish this result by estimating a benchmark model with Bayesian methods and loose priors on the unobserved drivers of the natural rate. When subject to transitory shocks, the median...

Persistent link: https://www.econbiz.de/10012854228

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