The Finance Uncertainty Multiplier

• 成果类型: Article
• 署名作者: Alfaro, Ivan; Bloom, Nicholas; Lin, Xiaoji
• 署名单位: BI Norwegian Business School; Stanford University; University of Minnesota System; University of Minnesota Twin Cities
• 刊物名称: JOURNAL OF POLITICAL ECONOMY
• ISSN/ISSBN: 0022-3808
• DOI: 10.1086/726230
• 发表日期: 2024
• 页码: 577-615
• 关键词: US FIRMS HOLD; corporate-investment; AGENCY COSTS; net worth; RISK; adjustment; volatility; POLICY; shocks; cash

摘要

We show how real and financial frictions amplify, prolong, and propagate the negative impact of uncertainty shocks. We use a novel instrumentation strategy to address endogeneity in estimating the impact of uncertainty by exploiting differential firm exposure to exchange rate, policy, and energy price volatility. We show that financially constrained firms cut investment more than unconstrained firms following an uncertainty shock. We then build a general equilibrium heterogeneous firms model with real and financial frictions, finding that financial frictions (i) amplify uncertainty shocks by doubling their impact on output; (ii) increase persistence by doubling the duration of the drop; and (iii) propagate uncertainty shocks by spreading their impact onto financial variables.