Volatility and Growth: Credit Constraints and Productivity-Enhancing Investment
Volatility and Growth: Credit Constraints and Productivity-Enhancing Investment
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波动性与增长：信贷约束与提高生产率的投资
DOI：
10.2139/ssrn.719772
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发表时间：
2005
期刊：
影响因子：
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通讯作者：
Kalina B. Manova
中科院分区：
文献类型：
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作者：
P. Aghion;Abhijit V. Banerjee;G. Angeletos;Kalina B. Manova
我们研究了信贷约束如何影响提高生产率的投资的周期性行为，从而影响波动性和增长。我们首先建立了一个简单的增长模型，在这个模型中，企业进行两种类型的投资：短期投资和提高生产率的长期投资。由于完成时间较长，长期投资的顺周期回报相对较小，但流动性风险也较高。在完整的金融市场下，长期投资是反周期的，从而减少波动。但当企业面临严格的信贷约束时，长期投资就会转向顺周期，从而放大波动性。因此，在给定的总投资率下，信贷紧缩既会导致总波动率上升，也会导致平均增长率下降。接下来，我们将该模型与1960-2000年期间的一组国家进行比较，发现金融发展程度越低，投资构成和平均增长对外部冲击的敏感性越高，波动对增长的负面影响也越大。
We examine how credit constraints affect the cyclical behavior of productivity-enhancing investment and thereby volatility and growth. We first develop a simple growth model where firms engage in two types of investment: a short-term one and a long-term productivity-enhancing one. Because it takes longer to complete, long-term investment has a relatively less procyclical return but also a higher liquidity risk. Under complete financial markets, long-term investment is countercyclical, thus mitigating volatility. But when firms face tight credit constraints, long-term investment turns procyclical, thus amplifying volatility. Tighter credit therefore leads to both higher aggregate volatility and lower mean growth for a given total investment rate. We next confront the model with a panel of countries over the period 1960-2000 and find that a lower degree of financial development predicts a higher sensitivity of both the composition of investment and mean growth to exogenous shocks, as well as a stronger negative effect of volatility on growth.