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Essays on Aggregate Fluctuations wit...

Senga, Tatsuro.

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Essays on Aggregate Fluctuations with Micro Heterogeneity.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Essays on Aggregate Fluctuations with Micro Heterogeneity./
作者:	Senga, Tatsuro.
出版者:	Ann Arbor : ProQuest Dissertations & Theses, : 2015,
面頁冊數:	149 p.
附註:	Source: Dissertation Abstracts International, Volume: 76-11(E), Section: A.
Contained By:	Dissertation Abstracts International76-11A(E).
標題:	Economic theory. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3710382
ISBN:	9781321862393

Essays on Aggregate Fluctuations with Micro Heterogeneity.
Senga, Tatsuro.

Essays on Aggregate Fluctuations with Micro Heterogeneity. - Ann Arbor : ProQuest Dissertations & Theses, 2015 - 149 p.

Source: Dissertation Abstracts International, Volume: 76-11(E), Section: A.

Thesis (Ph.D.)--The Ohio State University, 2015.

In these essays, I use real and financial data to uncover new measures of firm-level heterogeneity and quantify the macroeconomic effects of such heterogeneity using dynamic stochastic general equilibrium models.

ISBN: 9781321862393Subjects--Topical Terms:

1556984
Economic theory.

Essays on Aggregate Fluctuations with Micro Heterogeneity.
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500 $a Source: Dissertation Abstracts International, Volume: 76-11(E), Section: A.
500 $a Adviser: Aubhik Khan.
502 $a Thesis (Ph.D.)--The Ohio State University, 2015.
520 $a In these essays, I use real and financial data to uncover new measures of firm-level heterogeneity and quantify the macroeconomic effects of such heterogeneity using dynamic stochastic general equilibrium models.
520 $a In the first chapter, "A New Look at Uncertainty Shocks: Imperfect Information and Misallocation," I construct new empirical measures of firm-level uncertainty using data from the I/B/E/S and Compustat. These new measures reveal persistent differences in the degree of uncertainty facing individual firms. Consistent with existing measures, I find that the average level of uncertainty across firms is countercyclical, and that it rose sharply at the start of the Great Recession. I next develop a heterogeneous firm model with Bayesian learning and uncertainty shocks to study the aggregate implications of my new empirical findings. My model establishes a close link between the rise in firms' uncertainty at the start of a recession and the slow pace of subsequent recovery, thus avoiding a problematic symmetry that arises in uncertainty shock models. These results are obtained in an environment that embeds Jovanovic's (1982) model of learning in a setting where each firm gradually learns about its own productivity, and each occasionally experiences a shock forcing it to start learning afresh, allowing uncertainty to be renewed. An uncertainty shock is a rise in the probability that any given firm will lose its information. When calibrated to reproduce the level and cyclicality of my leading measure of firm-level uncertainty, the model generates a prolonged recession followed by anemic recovery in response to an uncertainty shock.
520 $a In the second chapter, "Default Risk and Aggregate Fluctuations in an Economy with Production Heterogeneity," with Aubhik Khan and Julia K. Thomas, I study an economy where firms have persistent differences in productivities, capital, and debt or financial assets. Investment is funded by retained earnings and non-contingent debt. Because firms may default on their loans, the unit cost of borrowing rises with the debt a firm undertakes and falls with its collateral. This drives an inefficient allocation of capital; on average, large firms with more collateral invest more than do small firms with less collateral. In response to a credit shock worsening firms' cash positions, the model predicts a sharp response consistent with several aspects of the 2007 U.S. recession. Measured TFP falls over several periods, as do employment, investment and GDP. The subsequent recovery is gradual given slow recoveries in TFP, aggregate capital, and the measure and distribution of firms.
520 $a In the third chapter, "Uncertainty Shocks and Liquidity Crisis with Adverse Selection," I study the impact of uncertainty shocks in an economy with asymmetric information in the asset market. Firms are heterogeneous in productivity, and they finance investment by issuing long-term, non-contingent loans. Each lender underwrites and securitizes loans in a market where households participate as buyers without knowing the quality of underlying assets. This adverse selection problem worsens following a shock to the dispersion of firm productivity. Trading volumes and the prices for securitized loans fall, and this in turn adversely affects investment at the firm level.
590 $a School code: 0168.
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