Financial Market Imperfections and the pricing decision of firms: Evidence, Theory, and Macroeconomic Implications

本项目研究金融市场不完善性为什么以及如何影响企业的行为，特别是在设定价格和调整劳动力投入方面。现有的研究对这一主题是相对缺乏的经验和理论贡献。我们从2002-2014年的每月ifo商业调查中探索了德国工厂层面的丰富数据。这些数据使我们能够记录新的程式化的事实之间的关系异质性金融摩擦和频率和方向的价格调整的公司内部和外部衰退。实证研究得到了部分均衡菜单成本模型的补充和指导，该模型为财务约束与定价频率和方向以及调整劳动力投入之间的相互作用提供了明确的理论基础。实证结果的丰富性、菜单成本模型与金融摩擦的结合以及模型与数据之间的紧密联系是我们对现有文献的新认识，我们从实证研究和部分均衡模型中获得的见解被用来发展一个金融摩擦与价格制定之间的显式互动的一般均衡框架。我们使用这个模型来回答是否和有多少分散在定价决策转化为异质性的产出和就业的反应，以特质和总体经济冲击。此外，我们试图了解宏观经济波动和福利是如何受到金融约束和价格调整之间的相互作用的影响。最后，我们研究了微观层面的特征如何影响货币政策的传导，因此，最优政策应该如何进行考虑到这种相互作用。

This project investigates why and how financial market imperfections affect the behavior of firms, in particular with respect to setting prices and adjusting labor input. Existing research on this topic is relatively scarce both in terms of empirical and theoretical contributions. We explore rich plant-level data for Germany from the monthly ifo Business Survey for 2002-2014. The data allows us to document new stylized facts on the relationship between heterogenous financial frictions and the frequency and direction of price adjustments of firms both inside and outside recessions. The empirical investigation is complemented and guided by a partial-equilibrium menu cost model which provides an explicit rationale for the interactions between financial constraints and the frequency and direction of setting prices as well as adjusting labor input. The richness of the empirical results, the combination of menu-cost models and financial frictions as well as the close link between model and data are to our knowledge novel to the existing literature.Our insights from the empirical investigation and partial-equilibrium model are used to develop a general equilibrium framework with an explicit interaction between financial frictions and price setting. We use this model to answer whether and by how much the dispersion in the pricing decisions translates into heterogeneities in the responses of output and employment to idiosyncratic and aggregate economic shocks. Further, we seek to understand how macroeconomic volatility and welfare are affected by the interaction between financial constraints and price adjustment. Finally, we investigate how micro-level characteristics influence the transmission of monetary policy and, consequently, how optimal policy should be conducted taking this interaction in account.