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1
Hirano, Tomohiro, and Noriyuki Yanagawa. "Asset Bubbles, Endogenous Growth, and Financial Frictions." Review of Economic Studies 84, no. 1 (November 7, 2016): 406–43. http://dx.doi.org/10.1093/restud/rdw059.
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Iacopetta, Maurizio, Raoul Minetti, and Pietro F. Peretto. "Financial Markets, Industry Dynamics and Growth." Economic Journal 129, no. 621 (January 8, 2019): 2192–215. http://dx.doi.org/10.1111/ecoj.12635.
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Abstract This article introduces corporate governance frictions into a growth model with endogenous market structure. Managers engage in corporate resource diversion and empire building. Shareholders discipline managers with incentive compensation contracts. A reform that mitigates corporate governance frictions boosts firms’ entry and, for a given market structure, has an ambiguous impact on incumbents’ return to product improvement. However, as the market structure adjusts, becoming more diffuse, incumbents invest less in product improvement. Calibrating the model to U.S. data, we find that a reform of the kind recently enacted in several advanced economies can lead to a welfare loss.
3
Guerron-Quintana, Pablo A., and Ryo Jinnai. "Financial frictions, trends, and the great recession." Quantitative Economics 10, no. 2 (2019): 735–73. http://dx.doi.org/10.3982/qe702.
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We study the causes behind the shift in the level of U.S. GDP following the Great Recession. To this end, we propose a model featuring endogenous productivity à la Romer and a financial friction à la Kiyotaki–Moore. Adverse financial disturbances during the recession and the lack of strong tailwinds post‐crisis resulted in a severe contraction and the downward shift in the economy's trend. Had financial conditions remained stable during the crisis, the economy would have grown at its average growth rate. From a historical perspective, the Great Recession was unique because of the size and persistence of adverse shocks, and the lackluster performance of favorable shocks since 2010.
4
Brunnermeier, Markus K., and Yuliy Sannikov. "A Macroeconomic Model with a Financial Sector." American Economic Review 104, no. 2 (February 1, 2014): 379–421. http://dx.doi.org/10.1257/aer.104.2.379.
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This article studies the full equilibrium dynamics of an economy with financial frictions. Due to highly nonlinear amplification effects, the economy is prone to instability and occasionally enters volatile crisis episodes. Endogenous risk, driven by asset illiquidity, persists in crisis even for very low levels of exogenous risk. This phenomenon, which we call the volatility paradox, resolves the Kocherlakota ( 2000) critique. Endogenous leverage determines the distance to crisis. Securitization and derivatives contracts that improve risk sharing may lead to higher leverage and more frequent crises. (JEL E13, E32, E44, E52, G01, G12, G20)
5
Wasmer, Etienne, and Philippe Weil. "The Macroeconomics of Labor and Credit Market Imperfections." American Economic Review 94, no. 4 (August 1, 2004): 944–63. http://dx.doi.org/10.1257/0002828042002525.
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Credit market imperfections influence the labor market and aggregate economic activity. In turn, macroeconomic factors have an impact on the credit sector. To assess these effects in a tractable general-equilibrium framework, we introduce endogenous search frictions, in the spirit of Peter Diamond (1990), in both credit and labor markets. We demonstrate that credit frictions amplify macroeconomic volatility through a financial accelerator. The magnitude of this general-equilibrium accelerator is proportional to the credit gap, defined as the deviation of actual output from its perfect credit market level. We explore various extensions, notably endogenous wages.
6
Mino, Kazuo. "A simple model of endogenous growth with financial frictions and firm heterogeneity." Economics Letters 127 (February 2015): 20–23. http://dx.doi.org/10.1016/j.econlet.2014.12.022.
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7
Bauer, Christian, and José V. Rodríguez Mora. "Distortions, Misallocation and the Endogenous Determination of the Size of the Financial Sector." Economic Journal 130, no. 625 (June 27, 2019): 24–49. http://dx.doi.org/10.1093/ej/uez031.
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Abstract We present a model of heterogeneous firms and misallocation in which financial frictions are partially overcome if more human resources are devoted to intermediation, at the cost of having fewer resources employed in directly productive activities. Not only does an inefficient financial sector result in an inefficient final good sector; an inefficient final good sector results in an inefficient financial sector. Exogenous inefficiencies in the productive sector generate decreased demand for financial services, which translates into a smaller and less efficient financial sector, worsening the resource allocation in the productive sector. This direction of causality seems in line with cross-country evidence.
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Chun, Rodney M. "PRIVATIZATION TRANSFERS AND CREDIT MARKET FRICTIONS." Macroeconomic Dynamics 6, no. 3 (June 2002): 357–84. http://dx.doi.org/10.1017/s1365100500000286.
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This paper examines an economy in which output is produced by state-owned enterprises and private firms. Private-capital formation requires intermediation that is subject to a credit market friction. In this environment, I look at the effects of a privatization policy that transfers state-owned capital to the private sector. Multiple steady-state equilibria are possible. When these arise, the low-wage equilibrium features a relatively inefficient financial system and privatization transfers help to increase the aggregate capital stock by reducing the severity of the credit market frictions. On the other hand, privatization transfers may have adverse effects when the economy is at the high-wage equilibrium. Analysis of the dynamic characteristics of the model reveals that development trap phenomenon and endogenous fluctuations can be observed.
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Kouretas, Georgios P., and Athanasios P. Papadopoulos. "INTRODUCTION TO THE SPECIAL ISSUE ON GROWTH, OPTIMAL FISCAL AND MONETARY POLICY, AND FINANCIAL FRICTIONS." Macroeconomic Dynamics 19, no. 6 (March 21, 2014): 1167–70. http://dx.doi.org/10.1017/s1365100514000017.
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Since 1997, the Department of Economics of the University of Crete has organized an annual international conference on macroeconomic analysis and international finance. The articles included in this special issue are refereed versions of papers presented at the 17th International Conference on Macroeconomic Analysis and International Finance held at the University Campus, Rethymno, 30 May–1 June 2013, and submitted to Macroeconomic Dynamics in an open call for papers. The central theme of this Special Issue is Growth, Optimal Fiscal and Monetary Policy, and Financial Frictions. The topics discussed in this issue are endogenous growth and public investment and taxation; optimal inflation and fiscal and monetary policy; foreign reserve accumulation and China's exchange rate policy; and liquidity shocks and financial frictions. We begin the Special Issue with an overview of these papers.
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Ferrante, Francesco. "A Model of Endogenous Loan Quality and the Collapse of the Shadow Banking System." American Economic Journal: Macroeconomics 10, no. 4 (October 1, 2018): 152–201. http://dx.doi.org/10.1257/mac.20160118.
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I develop a macroeconomic model in which banks can affect loan quality by exerting costly screening effort. Informational frictions limit the amount of external funds that banks can raise. In this framework, I consider two types of financial intermediation: traditional banking and shadow banking. By pooling different loans, shadow banks achieve a higher endogenous leverage compared to traditional banks, increasing credit availability. However, shadow banks also make the financial sector more fragile because of the lower quality of the loans they finance and because of their exposure to bank runs. In this setting, unconventional monetary policy can reduce macroeconomic instability. (JEL E32, E44, E52, G01, G21, G23, L25)
11
Portal, Márcio Telles, João Zani, and Carlos Eduardo Schönerwald da Silva. "Financial frictions and substitution between internal and external funds in publicly traded Brazilian companies." Revista Contabilidade & Finanças 23, no. 58 (April 2012): 19–32. http://dx.doi.org/10.1590/s1519-70772012000100002.
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The present study aimed to document the effects of financial constraints on the negative relationship between cash flow and external funds, a phenomenon associated with the Pecking Order Theory. This theory suggests that companies subject to more expensive external funds (financially constrained firms) should demonstrate a stronger negative relationship with cash flow than companies subject to minor financial frictions (financially unconstrained firms). The results indicate that the external funds of constrained firms consistently present less negative sensitivity to cash flow compared with those of unconstrained companies. Additionally, the internal funds of constrained companies demonstrate a positive sensitivity to cash flow, whereas those of unconstrained companies do not show any such significant behavior. These results are in accordance with the findings of Almeida and Campello (2010), who suggest the following: first, because of the endogenous nature of investment decisions in constrained companies, the complementary relationship between internal and external funds prevails over the substitutive effects suggested by the Pecking Order Theory; and second, the negative relationship between cash flow and external funds cannot be interpreted as evidence of costly external funds and therefore does not corroborate the Pecking Order Theory.
12
Wang, Huan, and WenYi Huang. "The Dynamic Properties of a Nonlinear Economic Model with Extreme Financial Frictions." Mathematical Problems in Engineering 2018 (July 5, 2018): 1–9. http://dx.doi.org/10.1155/2018/9682167.
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A generalized economic model with two kinds of agents (farmers and landlords) is investigated. Farmers produce grains by renting lands from landlords. The land which is not rented is cultivated by less productive landlords. The economy is assumed to be with extreme frictions so that there are no markets for agents to trade grains. The rental rate is determined by the equilibrium of the supply and demand. We consider the situation that farmers are likely to take more risk when the rental rate is low and have more risk aversion if the rate goes high. The psychological anticipation is taken into account in the setting of our model. Using the optimal control theory, the dynamic properties of the rental rate and its influence to the endogenous volatility are analyzed. Besides, we clarify that the rental market has an instinctive ability to dominate the anticipation of agents.
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Hori, Takeo. "Monetary Policy, Financial Frictions, and Heterogeneous R&D Firms in an Endogenous Growth Model*." Scandinavian Journal of Economics 122, no. 4 (March 18, 2020): 1343–73. http://dx.doi.org/10.1111/sjoe.12387.
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Le, Hai. "The Impacts of Credit Standards on Aggregate Fluctuations in a Small Open Economy: The Role of Monetary Policy." Economies 9, no. 4 (December 20, 2021): 203. http://dx.doi.org/10.3390/economies9040203.
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Empirical evidence demonstrates that credit standards, including lending margins and collateral requirements, move in a countercyclical direction. In this study, we construct a small open economy model with financial frictions to generate the countercyclical movement in credit standards. Our analysis demonstrates that countercyclical fluctuations in credit standards work as an amplifier of shocks to the economy. In particular, the existence of endogenous credit standards increases output volatility by 21%. We also suggest three alternative tools for policymakers to dampen the effects of endogenous credit standards on macroeconomic volatility. First, the introduction of credit growth to the monetary policy succeeds in counteracting the fluctuation of lending, and thus decreasing the additional volatility considerably. Second, the exchange rate augmented monetary policy, if well-constructed, is considered an efficient tool to eliminate most of the additional fluctuations caused by deep habits in the banking sector. Finally, the introduction of the foreign interest augmented policy also proves successful in dampening the effect of endogenous movements in lending standards.
15
Drozd, Lukasz A., Sergey Kolbin, and Jaromir B. Nosal. "The Trade-Comovement Puzzle." American Economic Journal: Macroeconomics 13, no. 2 (April 1, 2021): 78–120. http://dx.doi.org/10.1257/mac.20170386.
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Standard international transmission mechanism of productivity shocks predicts a weak endogenous linkage between trade and business cycle synchronization: a problem known as the trade-comovement puzzle. We provide the foundational analysis of the puzzle, pointing to three natural candidate resolutions: (i) financial market frictions, (ii) Greenwood-Hercowitz-Huffman preferences, and (iii) dynamic trade elasticity that is low in the short run but high in the long run. We show the effects of each of these candidate resolutions analytically and evaluate them quantitatively. We find that while (i) and (ii) fall short of the data, (iii) goes a long way toward resolving the puzzle. (JEL E32, F14, F44)
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Beaudry, Paul, Dana Galizia, and Franck Portier. "Putting the Cycle Back into Business Cycle Analysis." American Economic Review 110, no. 1 (January 1, 2020): 1–47. http://dx.doi.org/10.1257/aer.20190789.
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Are business cycles mainly a response to persistent exogenous shocks, or do they instead reflect a strong endogenous mechanism which produces recurrent boom-bust phenomena? In this paper we present evidence in favor of the second interpretation and we highlight the set of key elements that influence our answer. The elements that tend to favor this type of interpretation of business cycles are (i) slightly extending the frequency window one associates with business cycle phenomena, (ii) allowing for strategic complementarities across agents that arise due to financial frictions, and (iii) allowing for a locally unstable steady state in estimation. (JEL E22, E24, E23, E44)
17
Haberly, Daniel, and Dariusz Wójcik. "Culprits or Bystanders? Offshore Jurisdictions and the Global Financial Crisis." Journal of Financial Regulation 3, no. 2 (July 31, 2017): 233–61. http://dx.doi.org/10.1093/jfr/fjx005.
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ABSTRACT Questions have been raised regarding the role of low-tax offshore jurisdictions in the global financial crisis, based largely on evidence that many problematic asset-backed securities were issued from or listed in the Cayman Islands, Jersey, Ireland, and other ‘offshore’ sites. However, there has not been a systematic investigation of the offshore geography of crisis-implicated securitization. Here we fill this gap by constructing the first comprehensive jurisdictional map of the largest pre-crisis Asset-Backed Commercial Paper (ABCP) programmes, and examining the rationale for and impacts of this geography in detail. We show that offshore jurisdictions were disproportionately involved in producing the most unstable ABCP classes. However, this is difficult to explain in terms of the traditional role of offshore banking centres as sites for direct avoidance of onshore regulation and transparency. Rather, we propose a Minskian model of pre-crisis offshore ABCP production, wherein these jurisdictions specialized in alleviating incidental institutional frictions (eg double taxation) hindering onshore financial innovation. In this context, they could sometimes be legitimately described as improving the institutional ‘efficiency’ of financial markets; however, by facilitating the endogenous evolutionary instability of these markets, this apparently innocuous service had profoundly negative effects. This normative disconnect poses a conundrum for offshore reform.
18
Üslü, Semih. "Pricing and Liquidity in Decentralized Asset Markets." Econometrica 87, no. 6 (2019): 2079–140. http://dx.doi.org/10.3982/ecta14713.
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I develop a search‐and‐bargaining model of endogenous intermediation in over‐the‐counter markets. Unlike the existing work, my model allows for rich investor heterogeneity in three simultaneous dimensions: preferences, inventories, and meeting rates. By comparing trading‐volume patterns that arise in my model and are observed in practice, I argue that the heterogeneity in meeting rates is the main driver of intermediation patterns. I find that investors with higher meeting rates (i.e., fast investors) are less averse to holding inventories and more attracted to cash earnings, which makes the model corroborate a number of stylized facts that do not emerge from existing models: (i) fast investors provide intermediation by charging a speed premium, and (ii) fast investors hold more extreme inventories. Then, I use the model to study the effect of trading frictions on the supply and price of liquidity. On social welfare, I show that the interaction of meeting rate heterogeneity with optimal inventory management makes the equilibrium inefficient. I provide a financial transaction tax/subsidy scheme that corrects this inefficiency, in which fast investors cross‐subsidize slow investors.
19
Rhee, Wooheon. "CAN RBC MODELS EXPLAIN BUSINESS CYCLES IN KOREA?" Macroeconomic Dynamics 21, no. 3 (April 26, 2016): 599–623. http://dx.doi.org/10.1017/s1365100515000619.
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I examine whether an RBC model can generate a higher volatility of consumption relative to output, a strong negative correlation between output and the trade balance, and a weak countercyclicality of the real interest rate, phenomena that have been observed in the business cycles of emerging economies, including Korea. From an RBC model with recursive utility, I show that it is not the degree of relative risk aversion, but the elasticity of intertemporal substitution (EIS), that governs the movements of the variables of the model in the log linearized environment. The Bayesian estimation results based on Korean data from the period 1987 to 2013 suggest that there are some elements of success in describing the Korean economy based on the simple RBC model both with the EIS larger than one and with an error term for the real interest rate equation. An EIS larger than one improves the performance of the simple RBC model mainly in the direction of raising the volatility of consumption relative to output. Simulation results show that the error term for the real interest rate process mostly reflects the endogenous channel of financial frictions where the domestic real interest rate depends negatively on the expected (transitory) productivity shock.
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Shvets`, Serhii. "Development of the fundamentals of DSGE-modeling." Ekonomìčna teorìâ 2021, no. 01 (April 17, 2021): 67–85. http://dx.doi.org/10.15407/etet2021.01.067.
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This article attempts to analyze the evolution of approaches that constitute grounds for macro modeling. The counteraction to destructive consequences of crises assumes practical use of model apparatus as a necessary tool for preventing destabilization. The article aims to study the progressive stages and identify unsettled issues and promising ways to assist macro models' evolution. The fundamental Marshall's and Walras's platforms supported progressive changes following the destructive Great Depression and Great Inflation in the USA in 1920-1970 and marked a new trend in macro modeling called dynamic stochastic general equilibrium (DSGE) models. The new instrument is remarkable for a radical change in macro modeling approaches, where microeconomics comes to the fore. DSGE models debuted by invoking four essential ingredients: the Phillips curve, adaptive inflation expectations, anchoring nominal prices, and an endogenous production function. The progression stages of theoretical approaches to macro modeling incorporate the classical and Keynesian schools' advanced innovations. The evolution of macro modeling has five generations of models: Keynesian, classical, RBS, new Keynesian, and new Keynesian DSGE models. Among advantages of DSGE models are "political neutrality," distinguishing the shocks into economic and political ones, and establishing the upshots of significant structural changes in the economy. The next generation of macro models is called to solve four pressing issues: establishing financial frictions, relaxing rational expectations, introducing heterogeneous agents, and underpinning the framework with more appropriate microfoundations.
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Nguyen, Pascal, Nahid Rahman, and Ruoyun Zhao. "Returns to acquirers of listed and unlisted targets: an empirical study of Australian bidders." Studies in Economics and Finance 34, no. 1 (March 6, 2017): 24–48. http://dx.doi.org/10.1108/sef-10-2015-0234.
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Purpose This paper aims to evaluate the robustness of the listing effect in Australia, that is whether acquisitions of private firms create more value to the bidding firm’s shareholders than acquisitions of publicly listed firms. Design/methodology/approach The authors analyze the market reaction to the announcement of takeover bids initiated by Australian public firms on private and public targets over the period 1990-2011. The analysis controls for a wide range of bidder, deal and target country characteristics that are likely to correlate with the target’s listing status and acquirer abnormal returns. The authors also use a selection model to address the endogenous choice of the target’s listing status. Findings The results indicate that bidders experience significantly higher abnormal returns of about 1.7 per cent in the 11-day event window when the target is a private firm. The authors show that this result is broad-based and persistent. It does not appear to depend on whether the target is small or large; whether it is related or unrelated to the bidder’s industry; whether it is in the resources sector; and whether the transaction is domestic or cross-border. They find some evidence that bidder returns might be stronger for larger acquisitions, for unrelated targets, and in poor market conditions such as in the wake of the recent global financial crisis. Research limitations/implications The research would benefit from the inclusion of the bidding firm’s ownership and governance characteristics. Practical implications The results support the view that market frictions contribute to make private firms attractive targets. Originality/value The analysis confirms the pervasiveness of the listing effect in a market characterized by a lesser degree of competition, higher search costs and the significance of the natural resources sector.
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Zhu, Yuan, Bingyue Wan, and Lixin Tian. "Protection of Intellectual Property Rights, Financial Development and Green Low-Carbon Endogenous Economic Growth." Sustainability 14, no. 20 (October 12, 2022): 13029. http://dx.doi.org/10.3390/su142013029.
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This paper considers the protection of intellectual property rights and financial development in the green low-carbon endogenous economic growth model, and also considers the total financing scale of the firms in the financial development sector, the transformation ability of the R&D sector to the advanced technology of developed countries, and the intensity of intellectual property protection, which gives the household utility function to a household. After maximizing the utility function, this paper analyzes the economic growth rate and mainly finds that the economic growth rate increases with the increase of technological transformation capacity parameters, two kinds of production efficiency parameters, and the total financing scale of the firms, and in addition it decreases with the increase of the technical level of developing countries relative to developed countries. Then, considering the improvement degree of intermediate goods, R&D efficiency and financial frictional coefficient, the relationship between it and the economic growth rate is obtained. This paper finds that the economic growth rate increases with the increase of the degree of improvement; R&D efficiency parameter; the probability that any R&D project can bring positive returns; technical level; the investment in reducing carbon emissions; the amount of energy invested in the final goods production sector; and it decreases with the increase of the financial frictional coefficient.
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Letendre, Marc-André, and Joel Wagner. "AGENCY COSTS, RISK SHOCKS, AND INTERNATIONAL CYCLES." Macroeconomic Dynamics 22, no. 5 (July 4, 2017): 1134–72. http://dx.doi.org/10.1017/s1365100516000614.
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We add agency costs into a two-country, two-good international business-cycle model. In our model, changes in the relative price of investment arise endogenously. Despite the fact that technology shocks are uncorrelated across countries, the relative price of investment is positively correlated across countries in our model, much as it is in detrended U.S./Euro-area data. We also find that financial frictions tend to increase the volatility of the terms of trade and the international correlations of consumption, hours worked, output, and investment. We then compare this model to an alternative model that also includes risk shocks. We use credit spread data (for the United States) to calibrate the AR(1) process for risk shocks. We find that risk shocks are too small to significantly impact the model's dynamics.
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Huffaker, Ray, Garry Griffith, Charles Dambui, and Maurizio Canavari. "Empirical Detection and Quantification of Price Transmission in Endogenously Unstable Markets: The Case of the Global–Domestic Coffee Supply Chain in Papua New Guinea." Sustainability 13, no. 16 (August 16, 2021): 9172. http://dx.doi.org/10.3390/su13169172.
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Price transmission through global–domestic agricultural supply chains is a fundamental indicator of domestic market efficiency and producer welfare. Conventional price-transmission econometrics test for a theory-based spatial-arbitrage restriction that long-run equilibrium prices in spatially distinct markets differ by no more than transaction costs. The conventional approach is ill-equipped to test for price transmission when endogenously unstable markets do not equilibrate due to systematic arbitrage-frustrating frictions including financial and institutional transaction costs and biophysical constraints. We propose a novel empirical framework using price data to test for market stability and price transmission along international-domestic supply chains incorporating nonlinear time series analysis and recently emerging causal-detection methods from empirical nonlinear dynamics. We apply the framework to map-out and quantify price transmission through the global-exporter–processor–producer coffee supply chain in Papua, New Guinea. We find empirical evidence of upstream price transmission from the global market to domestic exporters and processors, but not through to producers.
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MÜLLER, MIRIAM. "The function and evasion of marriage fines on a fourteenth-century English manor." Continuity and Change 14, no. 2 (August 1999): 169–90. http://dx.doi.org/10.1017/s0268416099003306.
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Since Vinogradoff described merchet payments as ‘the most odious’ of the numerous manorial exactions for which villein tenants were liable, the fine for marriage, classically defined as a levy due from the villein upon the marriage of his daughter, has received a good deal of attention from historians. Although the issue of marriage licences has accordingly been tackled from various perspectives, in recent years the subject at the heart of a number of contributions to the topic was the question of seigneurial control. In tackling this matter, one has to ask what kind of control a manorial lord could or would want to exercise over the matters of matrimony of his social inferiors.An important contribution to the debate was provided in 1979 by Eleanor Searle. A key element in her argument was that marriage licences essentially constituted a tax on the chattels taken as dowry by the bride into her marriage, and as such were not universally enforced. Further, in her view merchet did not so much constitute a test of the status of the individual as one of tenure. At the same time she argued that merchets could be used by the lord to vet prospective marriage partners and thus control the transfers of tenant property lest the latter should slip into freehold tenure. By imposing financial disincentives, merchets, it was argued, also encouraged endogenous marriages. Richard Smith, while arguing that the rates of licences to marry were unlikely to reflect a proportional tax on dowries, nevertheless showed that merchets were not universally exacted and tended to fall predominantly upon richer tenants. Thus he took issue with R. Faith, who in a rejoinder to Searle's contribution suggested that the marriage licence constituted a tax on the marriage itself and was as such universally exacted.In order to consider these problems and test some of the propositions that have been made, this study aims to examine the practice of seigneurial exaction and hence the function of marriage licences, on the one hand, and the relevance and nature of tenant evasion of merchet payments on the other, on one manor from 1330 to 1377. Changes in seigneurial policy towards merchet payments will be analysed and placed in the wider context of the demographic and socio-economic changes affecting manorial life in this period. Within this framework three intertwined aspects of the licence to marry will be examined. First, focusing on the question of which tenants were liable to pay merchets and what constituted the criteria for this liability, the theory and practice of merchet exaction will be considered. Secondly the reasons for the lord's interest in the marriages of his tenants in conjunction with the routes open to him to influence villein marriages to his advantage will be explored. Thirdly the extent and consequences of tenant evasion of merchet fines will be assessed, whilst the clash between lord and tenant over marriage fines will be viewed in the wider context of lord–tenant friction, especially in the post-Black Death period. Central to this discussion, the role and importance of women in this particular act of non-compliance will be examined.
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Dai, Wei, and Bo Zhang. "Endogenous business cycles with financial frictions." Applied Economics, December 13, 2020, 1–11. http://dx.doi.org/10.1080/00036846.2020.1856323.
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Hirano, Tomohiro, and Noriyuki Yanagawa. "Asset Bubbles, Endogenous Growth, and Financial Frictions." SSRN Electronic Journal, 2010. http://dx.doi.org/10.2139/ssrn.1679251.
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Hirano, Tomohiro, and Noriyuki Yanagawa. "Asset Bubbles, Endogenous Growth, and Financial Frictions." SSRN Electronic Journal, 2013. http://dx.doi.org/10.2139/ssrn.2432788.
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CHANG, FA-HSIANG, and LIN ZHANG. "REVISITING INFLATION-GROWTH NEXUS: AN ENDOGENOUS GROWTH MODEL WITH FINANCIAL FRICTIONS." Annals of Financial Economics 17, no. 01 (March 2022). http://dx.doi.org/10.1142/s2010495222500014.
Повний текст джерелаАнотація:
This paper presents a new explanation of why the growth effect of inflation reported in the literature is an inverted-U relationship with considerations of lower bound on bank lending rates. We integrate a non-zero lower bound on the lending rate in the discussion and show the effect of inflation on optimal bank loan contracts. This paper believes that informational friction is a source of the negative relationship between inflation and growth when the loan rate constraint is non-binding. Besides, it finds out that once this loan rate constraint is binding, increasing inflation can reduce the real cost of financing capital investment and then contribute to growth. This paper also proves that the non-zero lower limit can only be reached at the low rate of inflation. It implies developing countries that are more likely to have low capital conversion efficiency and high transaction cost would hold a higher inflation-growth nexus than developed countries.
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Kitano, Shigeto, and Kenya Takaku. "Capital controls as a credit policy tool in a small open economy." B.E. Journal of Macroeconomics 18, no. 1 (October 11, 2017). http://dx.doi.org/10.1515/bejm-2016-0231.
Повний текст джерелаАнотація:
AbstractWe develop a sticky price, small open economy model with financial frictions à la [Gertler, Mark, and Peter Karadi. 2011. “A Model of Unconventional Monetary Policy.”Journal of Monetary Economics58 (1): 17–34.], in combination with liability dollarization. An agency problem between domestic financial intermediaries and foreign investors of emerging economies introduces financial frictions in the form of time-varying endogenous balance sheet constraints on the domestic financial intermediaries. We consider a shock that tightens the balance sheet constraint and show that capital controls, the effects of which are rigorously examined as a policy tool for the emerging economies, can be a credit policy tool to mitigate the negative shock.
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Franjo, Luis, Nathalie Pouokam, and Francesco Turino. "Financial Frictions and Firm Informality: a General Equilibrium Perspective." Economic Journal, January 31, 2022. http://dx.doi.org/10.1093/ej/ueac010.
Повний текст джерелаАнотація:
Abstract This paper assesses the extent to which financial development and informality are related, and how this relation translates into differences in GDP and TFP across countries. To this end, we develop a quantitative life-cycle general equilibrium model of occupational choice with imperfect tax enforcement, in which informal entrepreneurs have no access to credit and face an endogenous probability of being caught for tax evasion. Our quantitative analysis shows that the degree of financial frictions of a country is crucial in shaping the firm’s incentives to evade taxation, a feature that, in the aggregate, results into a non-linear relationship between financial development and both size of informality and GDP per capita. We test these model’s predictions with cross-country data and find supporting evidence in favour of both non-linearities.
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Nguyen, Quoc Hung. "Financial deepening in a two-sector endogenous growth model with productivity heterogeneity." B.E. Journal of Macroeconomics 20, no. 1 (June 29, 2019). http://dx.doi.org/10.1515/bejm-2019-0039.
Повний текст джерелаАнотація:
AbstractThis paper studies the effects of financial deepening and fiscal policy on human capital formation, working hours and growth in a model with financial frictions and productivity heterogeneity. The paper first shows that in the range of capital tax rates that attains a balanced growth path, taxation exerts inverted U-shaped effects on growth. The paper then analytically derives and shows that the growth maximizing tax rate and the corresponding growth are increasing concave functions of the financial deepening level. Finally, it is shown that theoretical predictions of the model are in line with data from OECD countries.
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Nguyen, Quoc Hung. "Revisiting Uzawa–Lucas with public human capital spending and productivity heterogeneity." Studies in Economics and Finance, July 12, 2022. http://dx.doi.org/10.1108/sef-03-2022-0149.
Повний текст джерелаАнотація:
Purpose This paper aims to study the effects of public human capital spending on growth under the presence of financial frictions and productivity heterogeneity. In addition, this paper derives and discusses growth-maximizing policy. Design/methodology/approach This paper constructs a tractable human capital–based growth model. There a continuum of heterogeneous entrepreneurs who own private firms, accumulate personal wealth and face collateral borrowing constraints. The representative worker accumulates human capital by using his own efforts, the existing human capital stock and human capital–related public services. The government finances public spending by taxing capital income. This paper then focuses its analysis on the balanced growth path equilibrium of the economy model. Findings This paper finds that public human capital spending financed by capital income taxation yields strictly higher growth than when the spending is absent. In addition, it shows that the growth-maximizing capital income tax rate is higher when the idiosyncratic firm productivity distribution is more heavy tailed. Originality/value This paper embraces and then explores the effects of productivity heterogeneity and financial frictions into an otherwise conventional human capital–based endogenous growth model. This paper also differs from the conventional endogenous growth framework by incorporating the productive role of public services in the process of accumulating human capital. Therefore, it can address the effects of public spending on growth.
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Belke, Ansgar, and Pascal Goemans. "Uncertainty and nonlinear macroeconomic effects of fiscal policy in the US: a SEIVAR-based analysis." Journal of Economic Studies ahead-of-print, ahead-of-print (May 18, 2021). http://dx.doi.org/10.1108/jes-07-2020-0334.
Повний текст джерелаАнотація:
PurposeThe purpose of this paper is to investigate whether the macroeconomic effects of government spending shocks vary with the degree of macroeconomic uncertainty.Design/methodology/approachThe authors use quarterly US data from 1960 to 2017 and employ the Self-Exciting Interacted VAR (SEIVAR) to compute nonlinear generalized impulse response functions (GIRFs) to an orthogonalized government spending shock during tranquil and in uncertain times. The parsimonious design of the SEIVAR enables us to focus on extreme deciles of the uncertainty distribution and to control for the financing side of the government budget, monetary policy, financial frictions and consumer confidence.FindingsFiscal spending has positive output effects in tranquil times, but is contractionary during times of heightened macroeconomic uncertainty. The results indicate an important role of the endogenous response of macroeconomic uncertainty. Investigating different government spending purposes, only increases in research and development expenditures reduce uncertainty and boost output during uncertain times.Originality/valueThe authors contribute to the literature in using a method which allows to control for a large set of confounding factors and accounts for the uncertainty response.
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Spencer, Adam Hal. "Policy Effects of International Taxation on Firm Dynamics and Capital Structure." Review of Economic Studies, October 13, 2021. http://dx.doi.org/10.1093/restud/rdab071.
Повний текст джерелаАнотація:
Abstract This article develops a quantitative open economy framework with dynamics, firm heterogeneity and financial frictions to study the impact of corporate tax reforms targeted at multinationals. The model quantifies their impact on firm selection, production and welfare. Firms draw idiosyncratic shocks, invest in capital, choose optimal financing and select endogenously into selling abroad, through exporting or FDI. I apply this framework to the removal of the U.S. repatriation tax as in the Tax Cuts and Jobs Act. The reform’s impact trades-off two selection effects—more offshoring versus greater U.S. business dynamism. The reform leads to higher U.S. welfare at little cost to the Treasury. A series of exercises illustrate that the novel features of this framework have significant quantitative implications. The reform gives starkly different cross-sectional predictions and lower welfare gains when financial frictions are removed and it is welfare reducing in a static counterpart of the model.
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Asriyan, Vladimir. "Balance Sheet Channel with Information-Trading Frictions in Secondary Markets." Review of Economic Studies, October 29, 2020. http://dx.doi.org/10.1093/restud/rdaa069.
Повний текст джерелаАнотація:
Abstract This article develops a theory of the balance sheet channel that places a central emphasis on the liquidity of secondary markets for macro-contingent claims. We show that the presence of dispersed information and imperfect competition in secondary markets, interacted with financial constraints, results in mispricing and misallocation of aggregate risk, distorts aggregate investment, and exacerbates asset price and output volatility. The magnitude of balance sheet amplification effects becomes endogenously tied to the severity of market frictions, which likely vary over time and across economies. The laissez-faire equilibrium is constrained inefficient due to a novel externality originating from rent-extracting behaviour of agents in secondary markets. Optimal corrective policy boosts secondary market liquidity through subsidies to trade in macro-contingent claims, which enhances aggregate risk-sharing and stabilizes the business cycle.
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Thaler, Dominik. "Sovereign default, domestic banks and exclusion from international capital markets." Economic Journal, November 5, 2020. http://dx.doi.org/10.1093/ej/ueaa120.
Повний текст джерелаАнотація:
Abstract Why do governments borrow internationally, why do they temporarily remain out of international financial markets after default? I develop a quantitative model of sovereign default to propose a unified answer to these questions. In the model, the government has an incentive to borrow internationally since the domestic return on capital exceeds the world interest rate, due to a friction in the banking sector. Since banks are exposed to sovereign debt, sovereign default causes a financial crisis. After default, the government chooses to reaccess international capital markets only once banks have recovered and efficiently allocate investment again. Exclusion hence arises endogenously.