Adverse selection, slow-moving capital, and misallocation

• 成果类型: Article
• 署名作者: Fuchs, William; Green, Brett; Papanikolaou, Dimitris
• 署名单位: University of California System; University of California Berkeley; Northwestern University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2016.01.001
• 发表日期: 2016
• 页码: 286-308
• 关键词: Misallocation; adverse selection; general equilibrium; Convex adjustment costs

摘要

We embed adverse selection into a dynamic, general equilibrium model with heterogeneous capital and study its implications for aggregate dynamics. The friction leads to delays in firms' divestment decisions and thus slow recoveries from shocks, even when these shocks do not affect the economy's potential output. The impediments to reallocation increase with the dispersion in productivity and decrease with the interest rate, the frequency of sectoral shocks, and households' consumption smoothing motives. When households are risk averse, delaying reallocation serves as a hedge against future shocks, which can lead to persistent misallocation. Our model also provides a micro-foundation for convex adjustment costs and a link between the nature of these costs and the underlying economic environment. (C) 2016 Elsevier B.V. All rights reserved.