Turbulent business cycles

• 成果类型: Article
• 署名作者: Dong, Ding; Liu, Zheng; Wang, Pengfei
• 署名单位: Hong Kong Baptist University; Federal Reserve System - USA; Federal Reserve Bank - San Francisco
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2025.103814
• 发表日期: 2025
• 关键词: turbulence; heterogeneous firms; financial frictions; reallocation; PRODUCTIVITY; business cycles

摘要

Firm-level evidence suggests that turbulence that reshuffles firms' productivity rankings rises sharply in recessions. An increase in turbulence reallocates labor and capital from high-to low-productivity firms, reducing aggregate TFP and the stock market value of firms. A real business cycle model with heterogeneous firms and financial frictions can generate the observed macroeconomic and reallocation effects of turbulence. In the model, increased turbulence makes high-productivity firms less likely to remain productive, reducing their expected equity values and tightening their borrowing constraints relative to low-productivity firms. This leads to a reallocation that reduces aggregate TFP. Unlike uncertainty, turbulence changes both the conditional mean and the conditional variance of the firm productivity distribution, enabling a turbulence shock to generate a recession with synchronized declines in aggregate activities.