Financial Frictions in Quantitative International Business Cycle Models

定量国际经济周期模型中的金融摩擦

基本信息

  • 批准号:
    0419213
  • 负责人:
  • 金额:
    --
  • 依托单位:
  • 依托单位国家:
    美国
  • 项目类别:
    Continuing Grant
  • 财政年份:
    2004
  • 资助国家:
    美国
  • 起止时间:
    2004-11-01 至 2012-04-30
  • 项目状态:
    已结题

项目摘要

Financial frictions seem to play a major role in generating movements in aggregate prices and quantities. The first two parts of this project are motivated by the fact that models without financial frictions have a hard time accounting for the behavior of real exchange rates, a key variable in international economics. These parts of the project examine specific frictions discussed in the literature and assess their ability to better account for the observations. The third part develops a new quantitative model of the business cycle that formalizes the commonly held view that monetary contractions operating through a credit channel disproportionately affect small firms. The fourth project uses a panel data set to document how the behavior of small and large firms differ over the business cycle.A model that generates substantial time-varying risk is needed to explain the movements in interest rates and exchange rates. The challenge is to generate such risk without making variables like interest rates counterfactually volatile and without putting substantial time-varying risk in the underlying fundamentals, for which there is scant evidence. This project attempts to meet this challenge with a monetary general equilibrium model that generates time-varying risk premia as a result of endogenous market segmentation arising from fixed costs. The model generates time-varying risk since, as the shocks vary, so do the fraction and quantity of trades by active agents in the asset market. The project studies the financial friction caused by the difficulty of enforcing contracts between sovereign nations involving large transfers of resources at one date and state which are backed only by promises to pay at later dates and states. Theoretically, this friction breaks the tight link between real exchange rates and relative consumption present in frictionless models by introducing a stochastic wedge between the real exchange rate and the ratio of marginal utilities. The project will investigate the quantitative role of this friction and contrast it with the iceberg shipping cost friction recently championed by Obstfeld and Rogoff.The project develops a new quantitative model of the business cycle. A large empirical literature has argued that in business cycle downturns, and particularly after monetary contractions, small firms contract disproportionately. This literature has emphasized the credit channel for monetary policy in which monetary contractions lead firms, in the aggregate, to reduce their use of bank loans. Larger firms are less affected by monetary contractions because they can access markets for commercial paper and other forms of debt as well as equity. Panel data on the patterns of large and small firms over the cycle are used to discipline the analysis. Guided by this new theory, the project studies the patterns of small and large firms over the cycle. The Census Bureau has approved a separate proposal asking for access to an extensive, detailed collection of data at the plant and firm level available at the Census data centers.Broader Impacts: This proposal will help policymakers design monetary policy, regulatory policy for the banking and financial services industry, and policy aimed at new and small firms. The research will be disseminated to policymakers in easily digestible formats and presented at policy conferences.
金融摩擦似乎在产生总价格和总数量的变动中起着重要作用。这个项目的前两部分是基于这样一个事实:没有金融摩擦的模型很难解释实际汇率的行为,而实际汇率是国际经济学中的一个关键变量。项目的这些部分检查了文献中讨论的具体摩擦,并评估了它们更好地解释观察结果的能力。第三部分发展了一个新的商业周期定量模型,该模型正式确立了一种普遍持有的观点,即通过信贷渠道运作的货币紧缩对小企业的影响不成比例。第四个项目使用面板数据集来记录小型和大型企业在商业周期中的行为差异。需要一个产生大量时变风险的模型来解释利率和汇率的变动。面临的挑战是,在产生这种风险的同时,不让利率等变量产生反事实的波动,也不给潜在的基本面带来实质性的时变风险,这方面的证据很少。本项目试图通过货币一般均衡模型来应对这一挑战,该模型由于固定成本产生的内生市场分割而产生时变风险溢价。该模型产生时变风险,因为随着冲击的变化,资产市场上活跃代理人的交易比例和数量也会变化。该项目研究了主权国家与国家之间难以执行的合同所造成的财政摩擦,这些合同涉及在某一日期进行大量资源转移,而这些资源转移的背后只有承诺在以后的日期支付。理论上,这种摩擦通过在实际汇率和边际效用比率之间引入一个随机楔形,打破了无摩擦模型中存在的实际汇率和相对消费之间的紧密联系。该项目将调查这种摩擦的定量作用,并将其与奥布斯特菲尔德和罗格夫最近倡导的冰山运输成本摩擦进行对比。该项目开发了一个新的商业周期定量模型。大量的实证文献表明,在商业周期衰退中,尤其是在货币紧缩之后,小企业的收缩不成比例。这些文献强调了货币政策的信贷渠道,其中货币紧缩导致企业总体上减少对银行贷款的使用。大公司受货币紧缩的影响较小,因为它们可以进入商业票据和其他形式的债务以及股票市场。关于大公司和小公司在周期中的模式的面板数据用于规范分析。在这一新理论的指导下,该项目研究了小公司和大公司在经济周期中的模式。人口普查局已经批准了一项单独的提案,要求访问人口普查局数据中心提供的工厂和公司层面的广泛、详细的数据集。更广泛的影响:该提案将帮助决策者制定货币政策、银行业和金融服务业的监管政策,以及针对新公司和小企业的政策。这项研究将以易于理解的形式分发给政策制定者,并在政策会议上提出。

项目成果

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Patrick Kehoe其他文献

MANUFACTURING RISK-FREE GOVERNMENT DEBT
制造业无风险政府债务
  • DOI:
  • 发表时间:
    2021
  • 期刊:
  • 影响因子:
    0
  • 作者:
    Zhengyang Jiang;Hanno Lustig;S. V. Nieuwerburgh;M. Xiaolan;Adrien Auclert;Jonathan Berk;Saki Bigio;Luigi Boccola;Lorenzo Bretscher;Hal Cole;P. Collin;Pierre;Peter Demarzo;Sebastian DiTella;François Gourio;Patrick Kehoe;R. Koijen;A. Krishnamurthy;Matteo Maggiori;Ellen R Mcgrattan;Alp Simsek
  • 通讯作者:
    Alp Simsek
Are Structural Vars with Long-Run Restrictions Useful in Developing Business Cycle Theory?
具有长期限制的结构变量对于发展经济周期理论有用吗?
  • DOI:
  • 发表时间:
    2008
  • 期刊:
  • 影响因子:
    0
  • 作者:
    V. Chari;Patrick Kehoe;Ellen R Mcgrattan
  • 通讯作者:
    Ellen R Mcgrattan
Robust predictions in dynamic policy games *
动态政策博弈中的稳健预测*
  • DOI:
  • 发表时间:
    2018
  • 期刊:
  • 影响因子:
    0
  • 作者:
    †. JuanPassadore;‡. JuanPabloXandri;Dilip Abreu;Mark Aguiar;Manuel Amador;Cristina Arellano;Adrien Auclert;Marco Battaglini;Saki Bigio;Juan Block;V. Chari;Arnaud Costinot;Nicolas Caramp;Alessandro Dovis;Sebastian Di;Christian Hellwig;Hugo Hopenhayn;Patrick Kehoe;Tim Kehoe;Stephen Morris;W. Pesendorfer;M. Rognlie;Andrés Sarto;Dejanir Silva;Chris Sims;M. Tabellini
  • 通讯作者:
    M. Tabellini
AGE-ASSOCIATED CHANGES IN THE RENIN-ANGIOTENSIN SYSTEM: IMPLICATIONS FOR FUTURE CLINICAL TRIALS
  • DOI:
    10.1016/j.cccb.2022.100090
  • 发表时间:
    2024-01-01
  • 期刊:
  • 影响因子:
  • 作者:
    Robert MacLachlan;Scott Miners;Patrick Kehoe
  • 通讯作者:
    Patrick Kehoe
4 Emerging Market Business Cycles : The Cycle is the
4 新兴市场经济周期:周期就是
  • DOI:
  • 发表时间:
    2004
  • 期刊:
  • 影响因子:
    0
  • 作者:
    Mark Aguiar;Gita Gopinath;Andy Atkeson;V. Chari;Steve Davis;Pierre‐ilivier Gourinchas;Anil Kashyap;Patrick Kehoe;Ayhan Kose;Fabrizio
  • 通讯作者:
    Fabrizio

Patrick Kehoe的其他文献

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{{ truncateString('Patrick Kehoe', 18)}}的其他基金

Asset Market Frictions in Quantitative International Business Cycle Models
定量国际经济周期模型中的资产市场摩擦
  • 批准号:
    0136885
  • 财政年份:
    2002
  • 资助金额:
    --
  • 项目类别:
    Continuing Grant
Quantitative International Business Cycle Models with Friction
具有摩擦力的定量国际经济周期模型
  • 批准号:
    9618304
  • 财政年份:
    1997
  • 资助金额:
    --
  • 项目类别:
    Continuing Grant
International Productivity, Risk Sharing, Savings and Investment
国际生产力、风险分担、储蓄和投资
  • 批准号:
    8909898
  • 财政年份:
    1989
  • 资助金额:
    --
  • 项目类别:
    Continuing Grant
International Business Cycles: Theory and Evidence
国际经济周期:理论与证据
  • 批准号:
    8708395
  • 财政年份:
    1987
  • 资助金额:
    --
  • 项目类别:
    Standard Grant

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