A model of slow recoveries from financial crises

• 成果类型: Article
• 署名作者: Queralto, Albert
• 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.2019.03.008
• 发表日期: 2020
• 页码: 1-25
• 关键词: business cycles; financial crises; total factor productivity

摘要

Output and productivity fall persistently following financial crises, and innovation effort s also decline in these episodes. After reviewing the evidence, this paper introduces a quantitative macroeconomic model featuring endogenous growth in total factor productivity (TFP) through innovation, in which innovators' financing is subject to frictions. These frictions become more severe as financial sector balance sheets deteriorate, increasing the cost of credit for innovators and thereby lowering the growth rate of TFP. Key parameters are estimated using data from the South Korean 1997 financial crisis. Financial frictions are found to amplify significantly the medium-run TFP and output losses following the crisis.