Financial frictions on capital allocation: A transmission mechanism of TFP fluctuations

• 成果类型: Article
• 署名作者: Chen, Kaiji; Song, Zheng
• 署名单位: Emory University; University of Chicago
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2013.06.001
• 发表日期: 2013
• 页码: 683-703
• 关键词: Financial Friction; capital allocation; TFP Fluctuation; news shock

摘要

This paper provides a theory of financial frictions as a transmission mechanism for news shocks to drive aggregate TFP fluctuations. We show that in an economy calibrated to U.S. data, variations in financial frictions on capital allocation in response to news about future technology can generate aggregate TFP fluctuations and, thus, trigger business cycles before the actual technological change is realized. Using the COMPUSTAT dataset, we find that the relative capital productivity of financially constrained to unconstrained firms is highly countercyclical. Moreover, our VAR analysis shows that news shocks can account for a substantial fraction of the relative capital productivity fluctuations over business cycle frequencies. (C) 2013 Elsevier B.V. All rights reserved.