Debt, Default and Business Cycles with Heterogeneous Firms

该奖项用于研究金融冲击对宏观经济活动的影响。在2007年的经济衰退中，信贷市场受到金融冲击之后，总投资和就业大幅下降。然而，信贷冲击并没有以同样的方式影响所有的公司。例如，我们知道，与过去的衰退相比，失业不成比例地集中在小公司中，现金持有量较低的公司在投资支出方面的降幅要大得多。采购经理人指数将开发新的量化模型，说明金融冲击如何通过对不同类型的公司的影响来影响经济。现有的模型在很大程度上依赖于一个假设，即一个行业的所有公司都非常相似。新的模型更难分析，但也更现实。在这个项目中开发的模型和方法可能会提高我们确定给定的金融冲击是否会导致衰退的能力。PI将开发和求解两个量化的动态随机一般均衡模型，其中金融市场的冲击会影响借款人的违约风险，从而影响非金融公司面临的信贷状况。这些模型包括企业在资本、债务和企业特定生产率上的分布，内生企业进入和退出，影响借款人均衡贷款利率时间表的金融冲击，以及影响总生产率的实际冲击。第一个模型研究了一期债务；第二个模型将第一个模型推广到适应不同债务到期日的公司。公司积累资本，可能借入或储蓄；为了与公司层面的财务数据保持一致，该模型考虑了留存收益。PIs的目标是在模型校准中观察到的规模和杠杆之间的关系，以及美国非金融公司现金比率的波动性。

This award funds research on the effects of financial shocks on macroeconomic activity. In the 2007 recession, financial shocks to the credit market were followed by a sharp decline in aggregate investment and employment. However, the credit shocks did not affect all firms in the same way. For example, we know that job loss was disproportionately concentrated among small firms compared to past recessions, and firms with lower cash holdings experienced far larger declines in investment spending. The PIs will develop new quantitative models of how financial shocks affect the economy through effects on different kinds of individual firms. Existing models largely rely on an assumption that all firms in a sector are very similar. The new model is more difficult to analyze, but also more realistic. The model and methods developed in this project may improve our ability to determine whether or not a given financial shock will result in recession.The PIs will develop and solve two quantitative DSGE models wherein shocks to financial markets affect borrowers' default risk and thus credit conditions facing nonfinancial firms. The models include a distribution of firms over capital, debt and firm specific productivity, endogenous firm entry and exit, financial shocks affecting equilibrium loan rate schedules offered to borrowers, and real shocks affecting aggregate productivity. The first model explores one-period debt; the second generalizes the first to accommodate firms with differing debt maturities. Firms accumulate capital and may borrow or save; for consistency with firm-level financial data, the model allows for retained earnings. The PIs target the observed relation between size and leverage and the volatility of cash ratios among U.S. nonfinancial firms in the model calibration.