Macroeconomic Effects of Financial Shocks

• 成果类型: Article
• 署名作者: Jermann, Urban; Quadrini, Vincenzo
• 署名单位: University of Pennsylvania; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); University of Southern California
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.102.1.238
• 发表日期: 2012
• 页码: 238-271
• 关键词: business cycles; debt

摘要

We document the cyclical properties of US firms' financial flows and show that equity payout is procyclical and debt payout is counter-cyclical. We then develop a model with debt and equity financing to explore how the dynamics of real and financial variables are affected by financial shocks. We find that financial shocks contributed significantly to the observed dynamics of real and financial variables. The recent events in the financial sector show up as a tightening of firms' financing conditions which contributed to the 2008-2009 recession. The downturns in 1990-1991 and 2001 were also influenced by changes in credit conditions.