Essays on the financial incompleteness and its macroeconomic effects.

详细信息   

• 作者：Kim ; Seok Ki.
• 学历：Ph.D.
• 年：2013
• 导师：Williams, Noah,eadvisorFukushima, Kenichiecommittee memberSeshadri, Ananthecommittee memberRoys, Nicolasecommittee memberChinn, Menzie D.ecommittee member
• 毕业院校：The University of Wisconsin
• Department：Economics
• ISBN：9781303270543
• CBH：3588745
• Country：USA
• 语种：English
• FileSize：2255566
• Pages：105

文摘

The first chapter studies why the Great Recession came with a relatively large reduction in output growth given the size of the fall in total factor productivity TFP) growth. We build a simple model with contractual frictions: limited commitment, limited liability and a corporate tax proportional to equity value. These constraints put restrictions on building up capital, but not on decreasing it. This asymmetry makes firms which have accumulated large capital stocks reduce them more in recessions. The model predicts that a relatively tranquil TFP history during the Great Moderation helped firms build up large capital stocks and generates up to a 60% larger output amplification in the Great Recession than in the 1973-1975 recession. The regression results confirm this history dependence of output amplification. Most neoclassical models in macroeconomics generate recessions from news of an increase in future TFP, because positive wealth effects make agents work and save less from such good news. In the second chapter, we propose a new way of explaining business cycles from news shocks by adopting the incomplete enforcement of contracts. In the model, firms can default with borrowed capital but defaulting firms are excluded from the market. Lenders must consider this incentive to default. If a profitable future is expected from news of increasing future TFP, firms will not default today. The smaller incentive to default facilitates investment and creates a large substitution effect which overwhelms the positive wealth effect. In the third chapter, we study the effects from the expansion in borrowing limit on output volatility in incomplete market. Extra borrowing capacity generates a decrease in total saving due to less precautionary saving motive, and an increase in interest rate. The rich saves more due to the higher interest rate, whereas the poor saves less due to the smaller precautionary saving motive. The rich is more susceptible to shocks in exogenous productivity than before, and hence counteracts fluctuations with more counter-cyclical labor supply. This effect dominates changes in the aggregate variables. The model can explain qualitative changes in aggregate volatility and wealth distribution during the Great Moderation.