ENDOGENOUS PROCYCLICAL LIQUIDITY, CAPITAL REALLOCATION, AND q

• 成果类型: Article
• 署名作者: Cao, Melanie; Shi, Shouyong
• 署名单位: York University - Canada; Queens University - Canada
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/iere.12594
• 发表日期: 2023
• 页码: 95-128
• 关键词: managerial incentives; search; INVESTMENT; prices; MARKET; money; MODEL

摘要

Capital reallocation is procyclical and an economic boom has a cleansing effect by shifting the distribution of firms from low quality to high quality. We explain these facts by modeling search frictions for used capital in the business cycle. The article characterizes the stochastic equilibrium analytically to prove that the liquidity and the price of reallocated capital are procyclical endogenously. We calibrate the model and construct proxies in the data for the unemployment rate of capital and the time on the market. These two variables have a strong positive relationship in both the model and the data.