Cross-sectional financial conditions, business cycles and the lending channel

• 成果类型: Article
• 署名作者: Ferreira, Thiago R. T.
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2024.103597
• 发表日期: 2024
• 关键词: Cross-sectional; skewness; business cycles; Lending channel

摘要

I document business cycle properties of the cross-sectional distributions of U.S. stock returns and credit spreads. The skewness of returns of financial firms (SRF) best predicts economic activity, while being a barometer for the lending channel-credit supply shifts beyond what is explained by borrowers' conditions. SRF also predict firm-level investment beyond firms' balance sheets. Using a structural model, I estimate that while SRF is highly cyclical, shocks to the cross-sectional skewness of financial firms' asset quality help explain GDP growth in historical episodes. These results point to the cross-section of financial firms playing a prominent role in business cycles.