Financial intermediation and capital reallocation

• 成果类型: Article
• 署名作者: Ai, Hengjie; Li, Kai; Yang, Fang
• 署名单位: University of Minnesota System; University of Minnesota Twin Cities; Louisiana State University System; Louisiana State University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2020.06.017
• 发表日期: 2020
• 页码: 663-686
• 关键词: Financial intermediation; Capital misallocation; volatility; CRISIS; limited enforcement

摘要

To understand the link between financial intermediation activities and the real economy, we build a general equilibrium model in which agency frictions in the financial sector affect the efficiency of capital reallocation across firms and generate aggregate economic fluctuations. We develop a recursive policy iteration approach to fully characterize the nonlinear equilibrium dynamics and the off-steady-state crisis behavior. In our model, adverse shocks to agency frictions exacerbate capital misallocation and manifest themselves variations in total factor productivity at the aggregate level. Our model endogenously generates countercyclical volatility in the aggregate time series and countercyclical dispersion in the marginal product of capital and asset returns in the cross-section. (C) 2020 Elsevier B.V. All rights reserved.