Uncertainty, agency costs and investment behavior in the Euro area and in the USA
Uncertainty, agency costs and investment behavior in the Euro area and in the USA
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DOI：
10.1108/jabes-04-2018-0007
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发表时间：
2018-06
影响因子：
3.9
通讯作者：
Johannes Strobel;Kevin D. Salyer;Gabriel S. Lee
中科院分区：
文献类型：
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作者：
Johannes Strobel;Kevin D. Salyer;Gabriel S. Lee
目的本文的目的是分析信贷渠道对美国和欧元区投资行为的影响。设计/方法论/途径本文使用动态随机一般均衡模型，对Carlstrom和Fuerst(1997)的经济周期代理成本模型的一个版本进行了校准，该模型包含影响资本生产的技术冲击的时变不确定性。为了突出美国和欧洲金融部门的差异，本文重点研究了贷款渠道的两个关键组成部分：与银行贷款相关的风险溢价和破产率。本文的研究结果表明，信贷市场微小差异的影响转化为房地产和金融变量的大幅、持续和非对称波动，并取决于冲击的类型。结果表明，在技术冲击后，欧元区的资本供给弹性低于美国。最后，作者发现，不确定性冲击的不利影响在不同国家是不同的，并被稳态破产率和风险溢价放大。本文量化了欧元区国家贷款人和借款人之间由于信息不对称而存在信贷渠道时不确定性冲击的影响，并将结果与美国的结果进行了比较。本文认为，金融加速器机制可能在欧元区的经济周期中发挥重要作用。这一结果直接让人得出以下结论：影响金融部门的信贷渠道确实对宏观经济行为至关重要，如果经济政策要降低商业和金融周期的波动性，政策制定者应该注意消除不确定性。
Purpose The purpose of this paper is to analyze the credit channel effects on investment behavior for the US and the Euro area. Design/methodology/approach This paper uses the dynamic stochastic general equilibrium model and calibrates a version of the Carlstrom and Fuerst’s (1997) agency cost model of business cycles with time-varying uncertainty in the technology shocks that affect capital production. To highlight the differences between the US and European financial sectors, the paper focuses on two key components of the lending channel: the risk premium associated with bank loans and the bankruptcy rates. Findings This paper shows that the effects of minor differences in the credit market translate into large, persistent and asymmetric fluctuations in real and financial variables and depend on the type of shocks. The results imply that the Euro areas supply elasticities for capital are less elastic than that of the USA following a technology shock. Finally, the authors find that the adverse impact of uncertainty shocks is heterogeneous across countries and amplified by the steady-state bankruptcy rate and risk premium. Originality/value This paper quantifies the effects of uncertainty shocks when there is a credit channel due to asymmetric information between lenders and borrowers for the Euro area countries, and then compares the results to that of the USA. This paper shows that financial accelerator mechanism could potentially play a significant role in business cycles in the Euro area. This result directly lends one to conclude the following: the credit channel that affects the financial sector does indeed matter for macroeconomic behavior, and that policy makers should be attentive in smoothing out uncertainties if the economic policies are to lower the business and financial cycle volatilities.