Volatility and growth: Credit constraints and the composition of investment

• 成果类型: Article
• 署名作者: Aghion, Philippe; Angeletos, George-Marios; Banerjee, Abhijit; Manova, Kalina
• 署名单位: Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Harvard University
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2010.02.005
• 发表日期: 2010
• 页码: 246-265
• 关键词: growth; volatility; credit constraints; liquidity; business cycles; amplification

摘要

How does uncertainty and credit constraints affect the cyclical composition of investment and thereby volatility and growth? This paper addresses this question within a model where firms engage in two types of investment: a short-term one; and a long-term one, which contributes more to productivity growth. Because it takes longer to complete, long-term investment has a relatively less cyclical return; but it also has a higher liquidity risk. The first effect ensures that the share of long-term investment to total investment is countercyclical when financial markets are perfect; the second implies that this share may turn procyclical when firms face tight credit constraints. A novel propagation mechanism thus emerges: through its effect on the cyclical composition of investment, tighter credit can lead to both higher volatility and lower mean growth. Evidence from a panel of countries provides support for the model's key predictions. (C) 2010 Elsevier B.V. All rights reserved.