Quantifying Reduced-Form Evidence on Collateral Constraints

• 成果类型: Article
• 署名作者: Catherine, Sylvain; Chaney, Thomas; Huang, Zongbo; Sraer, David; Thesmar, David
• 署名单位: University of Pennsylvania; University of Southern California; Institut d'Etudes Politiques Paris (Sciences Po); Center for Economic & Policy Research (CEPR); The Chinese University of Hong Kong, Shenzhen; University of California System; University of California Berkeley; National Bureau of Economic Research; Massachusetts Institute of Technology (MIT)
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13158
• 发表日期: 2022
• 页码: 2143-2181
• 关键词: financial frictions; firm dynamics; INVESTMENT; credit; PRODUCTIVITY; misallocation; EMPLOYMENT; allocation; policies; channel

摘要

This paper quantifies the aggregate effects of financing constraints. We start from a standard dynamic investment model with collateral constraints. In contrast to the existing quantitative literature, our estimation does not target the mean leverage ratio to identify the scope of financing frictions. Instead, we use a reduced-form coefficient from the recent corporate finance literature that connects exogenous debt capacity shocks to corporate investment. Relative to a frictionless benchmark, collateral constraints induce losses of 7.1% for output and 1.4% for total factor productivity (TFP) (misallocation). We show these estimated losses tend to be more robust to misspecification than estimates obtained by targeting leverage.