Credit Cycles, Expectations, and Corporate Investment

• 成果类型: Article
• 署名作者: Gulen, Huseyin; Ion, Mihai; Jens, Candace E.; Rossi, Stefano
• 署名单位: Purdue University System; Purdue University; University of Arizona; Syracuse University; Bocconi University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhae047
• 发表日期: 2024
• 页码: 3335
• 关键词: FINANCIAL RATIOS; liquidity trap; AGENCY COSTS; net worth; constraints; debt; fluctuations; prediction; prices; POLICY

摘要

We provide a systematic empirical assessment of the Minsky hypothesis that business fluctuations stem from irrational swings in expectations. Using predictable firm-level forecast errors, we build an aggregate index of irrational expectations and use it to provide three sets of results. First, we show that our index predicts aggregate credit cycles. Next, we show that these predictable credit cycles drive cycles in firm-level debt issuance and investment and similar cycles between financially constrained and unconstrained firms, as Minsky predicts. Finally, we show more pronounced cycles in firm-level financing and investment for firms with ex ante more optimistic expectations. (JEL G31, G32, G40, E32, E44)