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Essays on Credit Market Frictions an...

Moller, Jan.

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Essays on Credit Market Frictions and Macroeconomics.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Essays on Credit Market Frictions and Macroeconomics./
作者:	Moller, Jan.
出版者:	Ann Arbor : ProQuest Dissertations & Theses, : 2016,
面頁冊數:	126 p.
附註:	Source: Dissertation Abstracts International, Volume: 78-04(E), Section: A.
Contained By:	Dissertation Abstracts International78-04A(E).
標題:	Economics. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10189760
ISBN:	9781369332339

Essays on Credit Market Frictions and Macroeconomics.
Moller, Jan.

Essays on Credit Market Frictions and Macroeconomics. - Ann Arbor : ProQuest Dissertations & Theses, 2016 - 126 p.

Source: Dissertation Abstracts International, Volume: 78-04(E), Section: A.

Thesis (Ph.D.)--New York University, 2016.

This dissertation consists of two essays that focus on the role of credit market frictions for macroeconomic dynamics. Chapter 1 examines the interconnection of financial constraints and cross-sectional dynamics of employment and investment. Using firm-level data, I document that employment growth and investment rates are more sensitive to macroeconomic conditions for more financially constrained firms. I then develop a tractable dynamic general equilibrium model to capture this fact and I analyze the role of credit market frictions for cyclical sensitivities. The key ingredients in my framework are (i) the responsiveness of borrowing costs to expected default rates, and (ii) heterogeneity in the benefits of debt financing. Firms choose different capital structures with associated credit spreads and default risk, and firms with higher spreads respond more strongly to aggregate shocks. I show that the model can account for the cyclical elasticities of employment growth and for a substantial share of the credit spread differential during recessions. Furthermore, I use the model to study the implications of monetary policy, financial shocks and risk shocks for different firms. Finally, I consider other dimensions of firm heterogeneity, such as differences in productivity risk, and I find that the level of leverage does not necessarily imply greater cyclicality.

ISBN: 9781369332339Subjects--Topical Terms:

517137
Economics.

Essays on Credit Market Frictions and Macroeconomics.
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500 $a Source: Dissertation Abstracts International, Volume: 78-04(E), Section: A.
500 $a Adviser: Mark Gertler.
502 $a Thesis (Ph.D.)--New York University, 2016.
520 $a This dissertation consists of two essays that focus on the role of credit market frictions for macroeconomic dynamics. Chapter 1 examines the interconnection of financial constraints and cross-sectional dynamics of employment and investment. Using firm-level data, I document that employment growth and investment rates are more sensitive to macroeconomic conditions for more financially constrained firms. I then develop a tractable dynamic general equilibrium model to capture this fact and I analyze the role of credit market frictions for cyclical sensitivities. The key ingredients in my framework are (i) the responsiveness of borrowing costs to expected default rates, and (ii) heterogeneity in the benefits of debt financing. Firms choose different capital structures with associated credit spreads and default risk, and firms with higher spreads respond more strongly to aggregate shocks. I show that the model can account for the cyclical elasticities of employment growth and for a substantial share of the credit spread differential during recessions. Furthermore, I use the model to study the implications of monetary policy, financial shocks and risk shocks for different firms. Finally, I consider other dimensions of firm heterogeneity, such as differences in productivity risk, and I find that the level of leverage does not necessarily imply greater cyclicality.
520 $a Chapter 2 addresses the interlinkages of financial constraints in the household sector and the corporate sector. Using a DSGE model with labor market frictions and nominal rigidities I study an adverse feedback loop between aggregate demand and corporate defaults, and I show that the amplification from this novel mechanism can be quantitatively large. Borrowing limits and uninsurable unemployment risk create a precautionary savings motive on the household side. Limited liability allows entrepreneurs to shed both liabilities and employees. Cognizant of the fact that corporate defaults generate unemployment, the household's precautionary motive strengthens in recessions when corporate default risk is high. This generates a drag on aggregate demand that hurts the corporate sector and makes default ever more likely. The interplay between demand and defaults can be important in different types of recessions, namely in downturns characterized by deleveraging in the household sector, such as the Great Recession, as well as in more normal recessions that originate from disturbances to business activity. The additional propagation would not be present if constraints on either firms or households were absent. In addition, the feedback effects make it more likely that the economy hits the zero lower bound, resulting in greater declines of output and employment. Finally, I analyze how state-contingent unemployment insurance, such as the extension of eligibility during severe recessions, can mitigate the feedback loop. My analysis shows that countercyclical benefits are quite effective in offsetting shocks to the corporate sector but less successful in countering deleveraging on the household side.
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