Investment, Financial Frictions and the Dynamic Effects of Monetary Policy
|
|
- Alexandrina Banks
- 5 years ago
- Views:
Transcription
1 Investment, Financial Frictions and the Dynamic Effects of Monetary Policy James Cloyne Clodo Ferreira Maren Froemel Paolo Surico UC, Davis Bank of Spain London Business School & BoE ESCB Research Cluster 2 Paris, November 7 th 2018 The views expressed are those of the authors and do not necessarily reflect the views of the Bank of Spain, the Euro-system, Bank of England, MPC, FPC or PRA.
2 Monetary transmission and financial frictions Which type of firms are more sensitive to interest rate changes? How much do these firms contribute to the aggregate response? How can financial frictions be identified from balance sheet data? Do financial frictions dampen or amplify monetary policy shocks?
3 Monetary transmission and financial frictions Which type of firms are more sensitive to interest rate changes? How much do these firms contribute to the aggregate response? How can financial frictions be identified from balance sheet data? Do financial frictions dampen or amplify monetary policy shocks?
4 Empirical challenges and our approach 1 Assess heterogeneity across firms characteristics. Look at firm-level capital expenditure in U.K. and U.S. Explore variation by age, size, growth, leverage and Tobin s Q. 2 Evaluate balance sheet position across groups of firms. Exploit info on dividends and bond issuance decisions, credit scores, and equity prices. 3 Identify a series of monetary policy shocks. U.K.: Gerko and Rey (2017); U.S.: Gertler and Karadi (2015).
5 Empirical challenges and our approach 1 Assess heterogeneity across firms characteristics. Look at firm-level capital expenditure in U.K. and U.S. Explore variation by age, size, growth, leverage and Tobin s Q. 2 Evaluate balance sheet position across groups of firms. Exploit info on dividends and bond issuance decisions, credit scores, and equity prices. 3 Identify a series of monetary policy shocks. U.K.: Gerko and Rey (2017); U.S.: Gertler and Karadi (2015).
6 Empirical challenges and our approach 1 Assess heterogeneity across firms characteristics. Look at firm-level capital expenditure in U.K. and U.S. Explore variation by age, size, growth, leverage and Tobin s Q. 2 Evaluate balance sheet position across groups of firms. Exploit info on dividends and bond issuance decisions, credit scores, and equity prices. 3 Identify a series of monetary policy shocks. U.K.: Gerko and Rey (2017); U.S.: Gertler and Karadi (2015).
7 Empirical challenges and our approach 1 Assess heterogeneity across firms characteristics. Look at firm-level capital expenditure in U.K. and U.S. Explore variation by age, size, growth, leverage and Tobin s Q. 2 Evaluate balance sheet position across groups of firms. Exploit info on dividends and bond issuance decisions, credit scores, and equity prices. 3 Identify a series of monetary policy shocks. U.K.: Gerko and Rey (2017); U.S.: Gertler and Karadi (2015).
8 Main empirical finding I: heterogeneity Younger firms exhibit significantly larger adjustments in investment after an interest rate change and drive the aggregate response. Within these, the strongest adjustment is recorded among younger firms paying no dividends. Peak effect occurs between two and three years after the shock. Results are robust to controlling for other, more traditional, firms characteristics.
9 Main empirical finding II: mechanism Younger firms borrowing is more asset-based (than earning-based)......and their investment relies more on external funds (debt) After a contractionary monetary policy shock: interest payments and net worth respond homogeneously for all age groups borrowing,though, drops by a larger and significant amount for younger firms, especially those paying no dividends; sales (demand) responses are less pronounced and more homogenous across age/dividends groups. Consistent with financial frictions playing a quantitatively important role to amplify business cycle fluctuations through collateral values.
10 Main empirical finding II: mechanism Younger firms borrowing is more asset-based (than earning-based)......and their investment relies more on external funds (debt) After a contractionary monetary policy shock: interest payments and net worth respond homogeneously for all age groups borrowing,though, drops by a larger and significant amount for younger firms, especially those paying no dividends; sales (demand) responses are less pronounced and more homogenous across age/dividends groups. Consistent with financial frictions playing a quantitatively important role to amplify business cycle fluctuations through collateral values.
11 Main empirical finding II: mechanism Younger firms borrowing is more asset-based (than earning-based)......and their investment relies more on external funds (debt) After a contractionary monetary policy shock: interest payments and net worth respond homogeneously for all age groups borrowing,though, drops by a larger and significant amount for younger firms, especially those paying no dividends; sales (demand) responses are less pronounced and more homogenous across age/dividends groups. Consistent with financial frictions playing a quantitatively important role to amplify business cycle fluctuations through collateral values.
12 Outline 1 Data & approach 2 Heterogeneity 3 Financial frictions 4 Other transmission mechanisms 5 Concluding remarks
13 Data & approach Heterogeneity Financial frictions Other transmission mechanisms Concluding remarks 13 / 44 Firm-level data: Worldscope (U.K.), Compustat (U.S.) Panel of annual (UK) / quarterly (US) data. Sample: Real variables: capital expenditure, age (years since incorporation or IPO), size (by asset value), growth (by assets), net sales. Financial variables: leverage (debt over assets); Tobin s Q; equity; cash flows; dividends paid; share prices; interest payments, bond issuance. U.K.: 2,435 unique listed firms and around 27,000 (firms x years) obs. U.S.: 11,577 unique listed firms and 623,000 (firms x quarters) obs.
14 Data & approach Heterogeneity Financial frictions Other transmission mechanisms Concluding remarks 14 / 44 Investment: National Statistics vs Micro data United Kingdom Levels Growth rates log investment Year-on-year growth rates q1 1990q1 1995q1 2000q1 2005q1 2010q1 2015q1 Year Correlation.58 (pvalue = 0) 1985q1 1990q1 1995q1 2000q1 2005q1 2010q1 2015q1 Year investment (ONS) investment (WS) investment (ONS) investment (WS) United States Real Investment (log) % % Date Date National Statistics Aggregated Micro Data National Statistics Aggregated Micro Data
15 Data & approach Heterogeneity Financial frictions Other transmission mechanisms Concluding remarks 15 / 44 Monetary policy shock series High frequency surprises on short rate futures in a 30 minutes window around policy announcements, available since 2001 for the U.K. (Gerko-Rey) and since 1991 for the U.S. (Gertler-Karadi). Monthly macro proxy-svar over using the high frequency surprises as proxies to extract a SHOCK SERIES for the full sample (see Mertens and Ravn, 2014; Ramey 2016). Firms are matched with monthly interest rate surprises based on their respective filing dates.
16 Data & approach Heterogeneity Financial frictions Other transmission mechanisms Concluding remarks 16 / 44 Empirical specification: panel IV-Local Projections G G X j,t+h X j,t 1 = αj h + αg h Dgj,t h + βg h Dgj,t h R t + ɛ j,t+h g=1 g=1 Baseline X j,t+h : capital expenditure over net PPE at horizon h; Dg: dummy for groups of age, size, leverage, paying dividends in previous year; R t: interest rate in quarter t (slightly more convoluted for the U.K. annual data); Instrument: policy shocks in the accounting period t, extracted from proxy-svar. β h g: impulse response for group g at forecast horizon h. Additional firm-level X j,t+h : borrowing, share prices, sales, interest payments; Additional aggregate X t+h : industrial production, stock price index, credit spread. Standard errors clustered by firms and time.
17 Data & approach Heterogeneity Financial frictions Other transmission mechanisms Concluding remarks 17 / 44 The average effect: capital expenditure over net PPE United Kingdom United States Year Monetary Policy shock: 25 basis point increase. Standard errors: clustered by firms and time. Confidence band: 90%. Consistent with the MACRO EVIDENCE using data from national statistics. Same message when reporting at the ANNUAL FREQUENCY
18 Outline 1 Data & approach 2 Heterogeneity 3 Financial frictions 4 Other transmission mechanisms 5 Concluding remarks
19 DESCRIPTIVE STATISTICS
20 Data & approach Heterogeneity Financial frictions Other transmission mechanisms Concluding remarks 20 / 44 Firms size, growth and revenues as function of AGE Size Asset growth EBITDA United Kingdom Linear Prediction Size and age: Assets Book value Age Linear Prediction Asset Growth and Age Age % Age United States log(assets) Age % Age % Age Based on regressions of the variable of interest on age, squared age, sectorsxtime fixed effects (and size).
21 Data & approach Heterogeneity Financial frictions Other transmission mechanisms Concluding remarks 21 / 44 Firms financial characteristics as function of AGE Credit scores Paying dividends Leverage United Kingdom Linear Prediction Credit Score and Age Age Prob(paid dividends) Probabilities of Paying Dividends Last Year Age Linear Prediction Leverage and age: Book value Age United States probability Age low rating high rating probability Age % Age Based on regressions of the variable of interest on age, squared age, sectorsxtime fixed effects (and size).
22 Summary: younger firms tend on average to be smaller in size grow faster (in assets) have less internal funds have lower credit scores (and probability of issuing bonds) probability of paying dividends have lower leverage have higher (average) Tobin s Q
23 IMPULSE RESPONSE ANALYSIS
24 Data & approach Heterogeneity Financial frictions Other transmission mechanisms Concluding remarks 24 / 44 Dynamic effects of monetary policy on investment Younger Middle-aged Older United Kingdom Years Years Years United States Monetary Policy shock: 25 basis point increase. Standard errors clustering: by firms and time. Confidence band: 90%.
25 Data & approach Heterogeneity Financial frictions Other transmission mechanisms Concluding remarks 25 / 44 Investment response by AGE & DIVIDENDS: U.K. Younger Older NO dividends Years Years Dividends Years Years Monetary Policy shock: 25 basis point increase. Standard errors clustering: by firms and time. Confidence band: 90%.
26 Data & approach Heterogeneity Financial frictions Other transmission mechanisms Concluding remarks 26 / 44 Investment response by AGE & DIVIDENDS: U.S. Younger Older NO dividends Dividends Monetary Policy shock: 25 basis point increase. Standard errors clustering: by firms and time. Confidence band: 90%.
27 Data & approach Heterogeneity Financial frictions Other transmission mechanisms Concluding remarks 27 / 44 Heterogeneity by age and dividends is ROBUST to... 1 Size charts 2 Firm s growth charts 3 Leverage charts 4 Tobin s Q charts
28 Outline 1 Data & approach 2 Heterogeneity 3 Financial frictions 4 Other transmission mechanisms 5 Concluding remarks
29 UNCONDITIONAL CORRELATIONS
30 Data & approach Heterogeneity Financial frictions Other transmission mechanisms Concluding remarks Borrowing: asset-based vs. earning-based b LT i,t = G G β 1,g xdg i,t COLLATERAL i,t 1 + β 2,g xdg i,t EBITDA i,t 1 +X i,tγ+ɛ i,t g=1 g=1 U.K. U.S. Young / nodiv Old / div Young / nodiv Old / div *** *** ** COLLATERAL t 1 (0.0092) (0.0093) (0.0131) (0.0141) *** ** EBITDA t 1 (0.0114) (0.0191) (0.0160) (0.0183) R N Dependent variable: long-term debt Note: the regression includes timexsector and firm-level fixed effects. Standard errors are clustered by time and firm. 30 / 44
31 Data & approach Heterogeneity Financial frictions Other transmission mechanisms Concluding remarks Borrowing: asset-based vs. earning-based b LT i,t = G G β 1,g xdg i,t COLLATERAL i,t 1 + β 2,g xdg i,t EBITDA i,t 1 +X i,tγ+ɛ i,t g=1 g=1 U.K. U.S. Young / nodiv Old / div Young / nodiv Old / div *** *** ** COLLATERAL t 1 (0.0092) (0.0093) (0.0131) (0.0141) *** ** EBITDA t 1 (0.0114) (0.0191) (0.0160) (0.0183) R N Dependent variable: long-term debt Note: the regression includes timexsector and firm-level fixed effects. Standard errors are clustered by time and firm. 31 / 44
32 Data & approach Heterogeneity Financial frictions Other transmission mechanisms Concluding remarks Borrowing: asset-based vs. earning-based b LT i,t = G G β 1,g xdg i,t COLLATERAL i,t 1 + β 2,g xdg i,t EBITDA i,t 1 +X i,tγ+ɛ i,t g=1 g=1 U.K. U.S. Young / nodiv Old / div Young / nodiv Old / div *** *** ** COLLATERAL t 1 (0.0092) (0.0093) (0.0131) (0.0141) *** ** EBITDA t 1 (0.0114) (0.0191) (0.0160) (0.0183) R N Dependent variable: long-term debt Note: the regression includes timexsector and firm-level fixed effects. Standard errors are clustered by time and firm. 32 / 44
33 Data & approach Heterogeneity Financial frictions Other transmission mechanisms Concluding remarks 33 / 44 Financing investment: external vs. internal funds Based on a regression of investment on net debt and net equity issuances, cash flows, sectorxtime dummies (and firms controls).
34 CONDITIONAL CORRELATIONS
35 Data & approach Heterogeneity Financial frictions Other transmission mechanisms Concluding remarks 35 / 44 EQUITY (MKT. VALUE) responds for textbfall firms Younger & NO dividends Older & Paying dividends United Kingdom Year end (Q4) Year end (Q4) United States Monetary Policy shock: 25 basis point increase. Standard errors clustering: by firms and time. Confidence band: 90%.
36 Data & approach Heterogeneity Financial frictions Other transmission mechanisms Concluding remarks 36 / 44 More homogenous INTEREST PAYMENTS responses Younger & NO dividends Older & Paying dividends United Kingdom percent year end percent year end United States Monetary Policy shock: 25 basis point increase. Standard errors clustering: by firms and time. Confidence band: 90%.
37 Data & approach Heterogeneity Financial frictions Other transmission mechanisms Concluding remarks 37 / 44 Larger BORROWING response for Younger/No Div. Younger & NO dividends Older & Paying dividends United Kingdom Years Years United States Monetary Policy shock: 25 basis point increase. Standard errors clustering: by firms and time. Confidence band: 90%.
38 Outline 1 Data & approach 2 Heterogeneity 3 Financial frictions 4 Other transmission mechanisms 5 Concluding remarks
39 Data & approach Heterogeneity Financial frictions Other transmission mechanisms Concluding remarks 39 / 44 More homogenous SALES responses Younger & NO dividends Older & Paying dividends United Kingdom Years Years United States Monetary Policy shock: 25 basis point increase. Standard errors clustering: by firms and time. Confidence band: 90%.
40 Outline 1 Data & approach 2 Heterogeneity 3 Financial frictions 4 Other transmission mechanisms 5 Concluding remarks
41 Data & approach Heterogeneity Financial frictions Other transmission mechanisms Concluding remarks 41 / 44 Our contribution: SIX NEW FINDINGS... 1 Younger firms respond more than any other group and drive the aggregate response of investment to a monetary policy shock. 2 Results are more pronounced among young firms paying no dividends and robust to controlling for other firms characteristics. 3 Younger firms capex relies more on debt (than internal funds). 4 Younger firms debt is more asset-based (than earning-based). 5 Net worth and interest payments move for all firms. 6 Borrowing move most among younger firms. 7 Sales responses are homogeneous.
42 Data & approach Heterogeneity Financial frictions Other transmission mechanisms Concluding remarks 42 / 44 Our contribution: SIX NEW FINDINGS... 1 Younger firms respond more than any other group and drive the aggregate response of investment to a monetary policy shock. 2 Results are more pronounced among young firms paying no dividends and robust to controlling for other firms characteristics. 3 Younger firms capex relies more on debt (than internal funds). 4 Younger firms debt is more asset-based (than earning-based). 5 Net worth and interest payments move for all firms. 6 Borrowing move most among younger firms. 7 Sales responses are homogeneous.
43 Data & approach Heterogeneity Financial frictions Other transmission mechanisms Concluding remarks 43 / 44 Our contribution: SIX NEW FINDINGS... 1 Younger firms respond more than any other group and drive the aggregate response of investment to a monetary policy shock. 2 Results are more pronounced among young firms paying no dividends and robust to controlling for other firms characteristics. 3 Younger firms capex relies more on debt (than internal funds). 4 Younger firms debt is more asset-based (than earning-based). 5 Net worth and interest payments move for all firms. 6 Borrowing move most among younger firms. 7 Sales responses are homogeneous.
44 Data & approach Heterogeneity Financial frictions Other transmission mechanisms Concluding remarks 44 / 44 Our contribution:...and AN INTERPRETATION Younger firms tend to use external finance (mostly debt) to fund capital expenditure, and tend to borrow against the value of the assets used as collateral. A contractionary monetary policy shock raises credit spreads, affecting most firms relying on external finance macro evidence A contractionary monetary policy shock pushes down asset prices & tighten their borrowing constraint, leading to a fall in investment. YOUNG firms face significant financial frictions & financial accelerator plays a key role in the transmission of monetary policy to investment.
45 Extra Slides 45 / 44
46 Monetary policy surprises and shocks High-frequency Surprises Policy Shocks United Kingdom Date Date United States % m1 1993m1 1996m1 1999m1 2002m1 2005m1 2008m1 2011m1 2014m1 Date % m1 1991m1 1995m1 1999m1 2003m1 2007m1 2011m1 2015m1 Date Back 46 / 44
47 deviation deviation deviation The response of selected macro variables Investment Industrial production United Kingdom Months United States Months Monetary Policy shock: 25 basis point increase. Standard errors clustering: by firms and time. Confidence band: 90%. 47 / 44
48 deviation deviation The response of selected macro variables cont ed Employment Credit Spread United Kingdom Months Months United States Months Monetary Policy shock: 25 basis point increase. Standard errors clustering: by firms and time. Confidence band: 90%. Back to average effect Back to summary of results 48 / 44
49 49 / 44 The U.S. average effect reported at annual frequency Quarterly Annual End year (Q4) Monetary Policy shock: 25 basis point increase. Standard errors: clustered by firms and time. Confidence band: 90%. Back to average effect
50 50 / 44 Investment responses by SIZE groups Smaller Medium Larger United Kingdom Year end (Q4) Year end (Q4) Year end (Q4) United States Monetary Policy shock: 25 basis point increase. Standard errors clustering: by firms and time. Confidence band: 90%.
51 51 / 44 Controlling for (SMALLER) size NO dividends & Younger No dividends & Older United Kingdom Years Years United States Monetary Policy shock: 25 basis point increase. Standard errors clustering: by firms and time. Confidence band: 90%. Back to robustness summary
52 Investment responses by ASSET GROWTH groups Faster-growing Slower-growing United Kingdom Years Years United States Monetary Policy shock: 25 basis point increase. Standard errors clustering: by firms and time. Confidence band: 90%. 52 / 44
53 53 / 44 Controlling for (FASTER) asset growth NO dividends & Younger No dividends & Older United Kingdom Years Years United States Monetary Policy shock: 25 basis point increase. Standard errors clustering: by firms and time. Confidence band: 90%. Back to robustness summary
54 54 / 44 Investment responses by LEVERAGE groups Lower Medium Higher United Kingdom Year end (Q4) Year end (Q4) Year end (Q4) United States Monetary Policy shock: 25 basis point increase. Standard errors clustering: by firms and time. Confidence band: 90%.
55 Controlling for (LOWER) leverage NO dividends & Younger No dividends & Older United Kingdom Years Years United States Monetary Policy shock: 25 basis point increase. Standard errors clustering: by firms and time. Confidence band: 90%. Back to robustness summary 55 / 44
56 Investment responses by TOBIN S Q groups Higher Lower United Kingdom Years Years United States Monetary Policy shock: 25 basis point increase. Standard errors clustering: by firms and time. Confidence band: 90%. 56 / 44
57 57 / 44 Controlling for (HIGHER) Tobin s Q NO dividends & Younger No dividends & Older United Kingdom Years Years United States Monetary Policy shock: 25 basis point increase. Standard errors clustering: by firms and time. Confidence band: 90%. Back to robustness summary
INVESTMENT, FINANCIAL FRICTIONS AND THE DYNAMIC EFFECTS OF MONETARY POLICY
INVESTMENT, FINANCIAL FRICTIONS AND THE DYNAMIC EFFECTS OF MONETARY POLICY James Cloyne Clodomiro Ferreira Maren Froemel Paolo Surico March 2018 Abstract This paper assesses the role of financial frictions
More informationDebt Covenants and the Macroeconomy: The Interest Coverage Channel
Debt Covenants and the Macroeconomy: The Interest Coverage Channel Daniel L. Greenwald MIT Sloan EFA Lunch, April 19 Daniel L. Greenwald Debt Covenants and the Macroeconomy EFA Lunch, April 19 1 / 6 Introduction
More informationflow-based borrowing constraints and macroeconomic fluctuations
flow-based borrowing constraints and macroeconomic fluctuations Thomas Drechsel (LSE) Annual Congress of the EEA University of Cologne 27 August 2018 in a nutshell I What do the dynamics of firm borrowing
More informationFor Online Publication. The macroeconomic effects of monetary policy: A new measure for the United Kingdom: Online Appendix
VOL. VOL NO. ISSUE THE MACROECONOMIC EFFECTS OF MONETARY POLICY For Online Publication The macroeconomic effects of monetary policy: A new measure for the United Kingdom: Online Appendix James Cloyne and
More informationMotivation and Contribution
The Real Effects of Financial Sector Interventions During Crises Luc Laeven and Fabián Valencia Vl IMF, Research Department The views provided in this presentation are those of the authors and do not represent
More informationDepression Babies: Do Macroeconomic Experiences Affect Risk-Taking?
Depression Babies: Do Macroeconomic Experiences Affect Risk-Taking? October 19, 2009 Ulrike Malmendier, UC Berkeley (joint work with Stefan Nagel, Stanford) 1 The Tale of Depression Babies I don t know
More informationDiscussion of Ottonello and Winberry Financial Heterogeneity and the Investment Channel of Monetary Policy
Discussion of Ottonello and Winberry Financial Heterogeneity and the Investment Channel of Monetary Policy Aubhik Khan Ohio State University 1st IMF Annual Macro-Financial Research Conference 11 April
More informationDebt Burdens and the Interest Rate Response to Fiscal Stimulus: Theory and Cross-Country Evidence.
Debt Burdens and the Interest Rate Response to Fiscal Stimulus: Theory and Cross-Country Evidence. Jorge Miranda-Pinto 1, Daniel Murphy 2, Kieran Walsh 2, Eric Young 1 1 UVA, 2 UVA Darden School of Business
More informationBanks Exposure to Interest Rate Risk and the Transmission of Monetary Policy
Banks Exposure to Interest Rate Risk and the Transmission of Monetary Policy Augustin Landier (Toulouse) David Sraer (Princeton) David Thesmar (HEC Paris) What we do in the paper What is income gap?: Δ
More informationCommunications Breakdown: The Transmission of Dierent types of ECB Policy Announcements
Communications Breakdown: The Transmission of Dierent types of ECB Policy Announcements Andrew Kane, John H. Rogers and Bo Sun April 27, 218 1 / 27 Background I Large literature using high-frequency changes
More informationGrowth Opportunities, Investment-Specific Technology Shocks and the Cross-Section of Stock Returns
Growth Opportunities, Investment-Specific Technology Shocks and the Cross-Section of Stock Returns Leonid Kogan 1 Dimitris Papanikolaou 2 1 MIT and NBER 2 Northwestern University Boston, June 5, 2009 Kogan,
More informationInflation Dynamics During the Financial Crisis
Inflation Dynamics During the Financial Crisis S. Gilchrist 1 1 Boston University and NBER MFM Summer Camp June 12, 2016 DISCLAIMER: The views expressed are solely the responsibility of the authors and
More informationOnline Appendix to. The Value of Crowdsourced Earnings Forecasts
Online Appendix to The Value of Crowdsourced Earnings Forecasts This online appendix tabulates and discusses the results of robustness checks and supplementary analyses mentioned in the paper. A1. Estimating
More informationOnline Appendix: Asymmetric Effects of Exogenous Tax Changes
Online Appendix: Asymmetric Effects of Exogenous Tax Changes Syed M. Hussain Samreen Malik May 9,. Online Appendix.. Anticipated versus Unanticipated Tax changes Comparing our estimates with the estimates
More information1. Logit and Linear Probability Models
INTERNET APPENDIX 1. Logit and Linear Probability Models Table 1 Leverage and the Likelihood of a Union Strike (Logit Models) This table presents estimation results of logit models of union strikes during
More informationThe Labor Market Consequences of Adverse Financial Shocks
The Labor Market Consequences of Adverse Financial Shocks November 2012 Unemployment rate on the two sides of the Atlantic Credit to the private sector over GDP Credit to private sector as a percentage
More informationManaging Trade: Evidence from China and the US
Managing Trade: Evidence from China and the US Nick Bloom, Stanford & NBER Kalina Manova, Stanford, Oxford, NBER & CEPR John Van Reenen, London School of Economics & CEP Zhihong Yu, Nottingham National
More informationCash holdings determinants in the Portuguese economy 1
17 Cash holdings determinants in the Portuguese economy 1 Luísa Farinha Pedro Prego 2 Abstract The analysis of liquidity management decisions by firms has recently been used as a tool to investigate the
More informationAdministered Prices and Inflation Targeting in Thailand Kanin Peerawattanachart
Administered Prices and Targeting in Thailand Kanin Peerawattanachart Presentation at Bank of Thailand November 19, 2015 1 Jan-96 Oct-96 Jul-97 Apr-98 Jan-99 Oct-99 Jul-00 Apr-01 Jan-02 Oct-02 Jul-03 Apr-04
More informationBanking Market Structure and Macroeconomic Stability: Are Low Income Countries Special?
Banking Market Structure and Macroeconomic Stability: Are Low Income Countries Special? Franziska Bremus (German Institute for Economic Research (DIW) Berlin) Claudia M. Buch (Halle Institute for Economic
More informationEconomics Letters 108 (2010) Contents lists available at ScienceDirect. Economics Letters. journal homepage:
Economics Letters 108 (2010) 167 171 Contents lists available at ScienceDirect Economics Letters journal homepage: www.elsevier.com/locate/ecolet Is there a financial accelerator in US banking? Evidence
More informationWhat is Cyclical in Credit Cycles?
What is Cyclical in Credit Cycles? Rui Cui May 31, 2014 Introduction Credit cycles are growth cycles Cyclicality in the amount of new credit Explanations: collateral constraints, equity constraints, leverage
More informationDoes a Big Bazooka Matter? Central Bank Balance-Sheet Policies and Exchange Rates
Does a Big Bazooka Matter? Central Bank Balance-Sheet Policies and Exchange Rates Luca Dedola,#, Georgios Georgiadis, Johannes Gräb and Arnaud Mehl European Central Bank, # CEPR Monetary Policy in Non-standard
More informationBank Lending Shocks and the Euro Area Business Cycle
Bank Lending Shocks and the Euro Area Business Cycle Gert Peersman Ghent University Motivation SVAR framework to examine macro consequences of disturbances specific to bank lending market in euro area
More informationTax Cuts for Whom? Heterogeneous Effects of Income Tax Changes on Growth & Employment
Tax Cuts for Whom? Heterogeneous Effects of Income Tax Changes on Growth & Employment Owen Zidar University of California, Berkeley ozidar@econ.berkeley.edu October 1, 2012 Owen Zidar (UC Berkeley) Tax
More informationThe Role of Credit Ratings in the. Dynamic Tradeoff Model. Viktoriya Staneva*
The Role of Credit Ratings in the Dynamic Tradeoff Model Viktoriya Staneva* This study examines what costs and benefits of debt are most important to the determination of the optimal capital structure.
More informationThe link between labor costs and price inflation in the euro area
The link between labor costs and price inflation in the euro area E. Bobeica M. Ciccarelli I. Vansteenkiste European Central Bank* Paper prepared for the XXII Annual Conference, Central Bank of Chile Santiago,
More informationTen Years after the Financial Crisis: What Have We Learned from. the Renaissance in Fiscal Research?
Ten Years after the Financial Crisis: What Have We Learned from the Renaissance in Fiscal Research? by Valerie A. Ramey University of California, San Diego and NBER NBER Global Financial Crisis @10 July
More informationFinancial Crises and Asset Prices. Tyler Muir June 2017, MFM
Financial Crises and Asset Prices Tyler Muir June 2017, MFM Outline Financial crises, intermediation: What can we learn about asset pricing? Muir 2017, QJE Adrian Etula Muir 2014, JF Haddad Muir 2017 What
More informationHouse Price Volatility and Household Indebtedness in the U.S. and the U.K.
House Price Volatility and Household Indebtedness in the U.S. and the U.K. Richard Disney* John Gathergood *School of Economics, University of Nottingham and Institute for Fiscal Studies, London. ESRC
More informationState Dependency of Monetary Policy: The Refinancing Channel
State Dependency of Monetary Policy: The Refinancing Channel Martin Eichenbaum, Sergio Rebelo, and Arlene Wong May 2018 Motivation In the US, bulk of household borrowing is in fixed rate mortgages with
More informationFrequency of Price Adjustment and Pass-through
Frequency of Price Adjustment and Pass-through Gita Gopinath Harvard and NBER Oleg Itskhoki Harvard CEFIR/NES March 11, 2009 1 / 39 Motivation Micro-level studies document significant heterogeneity in
More informationDiscussion of: Banks Incentives and Quality of Internal Risk Models
Discussion of: Banks Incentives and Quality of Internal Risk Models by Matthew C. Plosser and Joao A. C. Santos Philipp Schnabl 1 1 NYU Stern, NBER and CEPR Chicago University October 2, 2015 Motivation
More informationThe relation between bank losses & loan supply an analysis using panel data
The relation between bank losses & loan supply an analysis using panel data Monika Turyna & Thomas Hrdina Department of Economics, University of Vienna June 2009 Topic IMF Working Paper 232 (2008) by Erlend
More informationReally Uncertain Business Cycles
Really Uncertain Business Cycles Nick Bloom (Stanford & NBER) Max Floetotto (McKinsey) Nir Jaimovich (Duke & NBER) Itay Saporta-Eksten (Stanford) Stephen J. Terry (Stanford) SITE, August 31 st 2011 1 Uncertainty
More informationCEO Attributes, Compensation, and Firm Value: Evidence from a Structural Estimation. Internet Appendix
CEO Attributes, Compensation, and Firm Value: Evidence from a Structural Estimation Internet Appendix A. Participation constraint In evaluating when the participation constraint binds, we consider three
More informationInvestment and the weighted average cost of capital: new micro evidence for France
Investment and the weighted average cost of capital: new micro evidence for France J. Carluccio 1 C. Mazet-Sonilhac 1 J.S. Mésonnier 1 1 Banque de France Very Preliminary. Please do not circulate. This
More informationRisk Taking and Interest Rates: Evidence from Decades in the Global Syndicated Loan Market
Risk Taking and Interest Rates: Evidence from Decades in the Global Syndicated Loan Market Seung Jung Lee FRB Lucy Qian Liu IMF Viktors Stebunovs FRB BIS CCA Research Conference on "Low interest rates,
More informationBank Capital, Agency Costs, and Monetary Policy. Césaire Meh Kevin Moran Department of Monetary and Financial Analysis Bank of Canada
Bank Capital, Agency Costs, and Monetary Policy Césaire Meh Kevin Moran Department of Monetary and Financial Analysis Bank of Canada Motivation A large literature quantitatively studies the role of financial
More informationUnconventional Monetary Policy and Bank Lending Relationships
Unconventional Monetary Policy and Bank Lending Relationships Christophe Cahn 1 Anne Duquerroy 1 William Mullins 2 1 Banque de France 2 University of Maryland BdF-BdI Workshop - June 9, 2017 1 / 43 Motivation
More informationThe Labor Market Consequences of Adverse Financial Shocks
13TH JACQUES POLAK ANNUAL RESEARCH CONFERENCE NOVEMBER 8 9, 2012 The Labor Market Consequences of Adverse Financial Shocks Tito Boeri Bocconi University and frdb Pietro Garibaldi University of Torino and
More informationTaxing Firms Facing Financial Frictions
Taxing Firms Facing Financial Frictions Daniel Wills 1 Gustavo Camilo 2 1 Universidad de los Andes 2 Cornerstone November 11, 2017 NTA 2017 Conference Corporate income is often taxed at different sources
More informationTHE RISE AND FALL OF THE NATURAL INTEREST RATE
THE RISE AND FALL OF THE NATURAL INTEREST RATE Gabriele Fiorentini Università di Firenze Alessandro Galesi Banco de España Gabriel Pérez-Quirós European Central Bank Enrique Sentana CEMFI ESCB Research
More informationCORRELATION BETWEEN MALTESE AND EURO AREA SOVEREIGN BOND YIELDS
CORRELATION BETWEEN MALTESE AND EURO AREA SOVEREIGN BOND YIELDS Article published in the Quarterly Review 2017:4, pp. 38-41 BOX 1: CORRELATION BETWEEN MALTESE AND EURO AREA SOVEREIGN BOND YIELDS 1 This
More informationPushing on a string: US monetary policy is less powerful in recessions
Pushing on a string: US monetary policy is less powerful in recessions Silvana Tenreyro and Gregory Thwaites LSE and Bank of England September 13 Disclaimer This does not represent the views of the Bank
More informationCorporate Investment and the Real Exchange Rate
Corporate Investment and the Real Exchange Rate Mai Dao Camelia Minoiu Jonathan D. Ostry Research Department, IMF* 21-22 April, 2016 *The views expressed herein are those of the authors and should not
More informationCompetition and the pass-through of unconventional monetary policy: evidence from TLTROs
Competition and the pass-through of unconventional monetary policy: evidence from TLTROs M. Benetton 1 D. Fantino 2 1 London School of Economics and Political Science 2 Bank of Italy Boston Policy Workshop,
More informationPrivate Leverage and Sovereign Default
Private Leverage and Sovereign Default Cristina Arellano Yan Bai Luigi Bocola FRB Minneapolis University of Rochester Northwestern University Economic Policy and Financial Frictions November 2015 1 / 37
More informationHas Globalization Changed the Inflation Process?
Has Globalization Changed the Inflation Process? by Kristin J. Forbes Carlos Carvalho Banco Central do Brasil and PUC-Rio 17th BIS Annual Conference June 22, 2018 Carvalho, C. Has Globalization Changed
More informationThe Impact of Monetary Policy on Inequality in the UK. An Empirical Analysis
The Impact of Monetary Policy on Inequality in the UK. An Haroon Mumtaz Angeliki Theophilopoulou May 2017 Inequality in wages, income and consumption high over the Great Moderation period. Complex reasons
More informationThe High Idiosyncratic Volatility Low Return Puzzle
The High Idiosyncratic Volatility Low Return Puzzle Hai Lu, Kevin Wang, and Xiaolu Wang Joseph L. Rotman School of Management University of Toronto NTU International Conference, December, 2008 What is
More informationStress-testing the Impact of an Italian Growth Shock using Structural Scenarios
Stress-testing the Impact of an Italian Growth Shock using Structural Scenarios Juan Antolín-Díaz Fulcrum Asset Management Ivan Petrella Warwick Business School June 4, 218 Juan F. Rubio-Ramírez Emory
More informationInvestment and the weighted average cost of capital: new firm-level evidence for France
Investment and the weighted average cost of capital: new firm-level evidence for France J. Carluccio 1 C. Mazet-Sonilhac 1,2 J.S. Mésonnier 1 1 Banque de France 2 Sciences Po Paris Work in progress. This
More informationIdiosyncratic risk, insurance, and aggregate consumption dynamics: a likelihood perspective
Idiosyncratic risk, insurance, and aggregate consumption dynamics: a likelihood perspective Alisdair McKay Boston University June 2013 Microeconomic evidence on insurance - Consumption responds to idiosyncratic
More informationFrom Subprime Loans to Subprime Growth? Evidence for the Euro Area
9TH JACQUES POLAK ANNUAL RESEARCH CONFERENCE NOVEMBER 13-14, 2008 From Subprime Loans to Subprime Growth? Evidence for the Euro Area Martin Čihák International Monetary Fund and Petya Koeva International
More informationMacroeconomic Uncertainty Indices Based on Nowcast and Forecast Error Distributions Online Appendix
Macroeconomic Uncertainty Indices Based on Nowcast and Forecast Error Distributions Online Appendix Barbara Rossi and Tatevik Sekhposyan January, 5 This Appendix contains five sections. Section reports
More informationDemographics and Monetary Policy Shocks
Demographics and Monetary Policy Shocks Kimberly A. Berg Miami University Steven Lugauer University of Kentucky Chadwick C. Curtis University of Richmond Nelson C. Mark University of Notre Dame and NBER
More informationMonetary Policy when Households have Debt: New Evidence on the Transmission Mechanism
Monetary Policy when Households have Debt: New Evidence on the Transmission Mechanism James Cloyne Clodomiro Ferreira Paolo Surico December 215 Abstract In response to an interest rate change, mortgagors
More informationMonetary Policy when Households have Debt: New Evidence on the Transmission Mechanism
Monetary Policy when Households have Debt: New Evidence on the Transmission Mechanism James Cloyne Clodomiro Ferreira Paolo Surico November 16 Abstract This paper offers a new perspective on the transmission
More informationThe Effects of Experience on Investor Behavior: Evidence from India s IPO Lotteries
1 / 14 The Effects of Experience on Investor Behavior: Evidence from India s IPO Lotteries Santosh Anagol 1 Vimal Balasubramaniam 2 Tarun Ramadorai 2 1 University of Pennsylvania, Wharton 2 Oxford University,
More informationThe Global Factor in International Financial Flows Linda S. Goldberg
The Global Factor in International Financial Flows Linda S. Goldberg February 2018 : Panel for Central Bank of Ireland/ Banque de France Symposium on Financial Globalization The views expressed are those
More informationForeign Fund Flows and Asset Prices: Evidence from the Indian Stock Market
Foreign Fund Flows and Asset Prices: Evidence from the Indian Stock Market ONLINE APPENDIX Viral V. Acharya ** New York University Stern School of Business, CEPR and NBER V. Ravi Anshuman *** Indian Institute
More informationDo Mutual Funds Trade Differently at Home and Abroad?
Do Mutual Funds Trade Differently at Home and Abroad? Sandy Lai, Lilian Ng, Bohui Zhang, Zhe Zhang 4 th Conference on Professional Asset Management Rotterdam School of Management Erasmus University March
More informationExplaining Consumption Excess Sensitivity with Near-Rationality:
Explaining Consumption Excess Sensitivity with Near-Rationality: Evidence from Large Predetermined Payments Lorenz Kueng Northwestern University and NBER Motivation: understanding consumption is important
More informationAcemoglu, et al (2008) cast doubt on the robustness of the cross-country empirical relationship between income and democracy. They demonstrate that
Acemoglu, et al (2008) cast doubt on the robustness of the cross-country empirical relationship between income and democracy. They demonstrate that the strong positive correlation between income and democracy
More informationFinancial Heterogeneity and the Investment Channel of Monetary Policy
Financial Heterogeneity and the Investment Channel of Monetary Policy Pablo Ottonello University of Michigan pottonel@umich.edu Thomas Winberry Chicago Booth and NBER Thomas.Winberry@chicagobooth.edu March
More informationThe Impact of Unconventional Monetary Policy On Firm Financing Constraints: Evidence from the Maturity Extension Program
The Impact of Unconventional Monetary Policy On Firm Financing Constraints: Evidence from the Maturity Extension Program Nathan Foley-Fisher Federal Reserve Board of Governors Rodney Ramcharan Federal
More informationDiscussion of The Transmission of Monetary Policy through Redistributions and Durables Purchases by Silvana Tenreyro and Vincent Sterk
Discussion of The Transmission of Monetary Policy through Redistributions and Durables Purchases by Silvana Tenreyro and Vincent Sterk Adrien Auclert Stanford (visiting Princeton) Conference on Monetary
More informationDETERMINANTS OF FIRMS INVESTMENT IN SPAIN: THE ROLE OF POLICY UNCERTAINTY
DETERMINANTS OF FIRMS INVESTMENT IN SPAIN: THE ROLE OF POLICY UNCERTAINTY Daniel Dejuan and Corinna Ghirelli Bank of Spain European Network for Research on Investment EIB - Luxemburg 9 April 018 DG ECONOMICS,
More informationGlobal Real Rates: A Secular Approach
Global Real Rates: A Secular Approach Pierre-Olivier Gourinchas 1 Hélène Rey 2 1 UC Berkeley & NBER & CEPR 2 London Business School & NBER & CEPR FRBSF Fed, April 2017 Prepared for the conference Do Changes
More informationCorporate leverage and investment in the aftermath of the financial crisis
ECB-UNRESTRICTED FINAL Corporate leverage and investment in the aftermath of the financial crisis Philip Vermeulen European Central Bank Directorate General Research Copyright rests with the author. All
More informationCapital Market Financing to Firms
Capital Market Financing to Firms Sergio Schmukler Research Department World Bank Seventeenth Annual Conference on Indian Economic Policy Reform Stanford University June 2-3, 2016 Motivation Capital markets
More informationReserve Requirements and Optimal Chinese Stabilization Policy 1
Reserve Requirements and Optimal Chinese Stabilization Policy 1 Chun Chang 1 Zheng Liu 2 Mark M. Spiegel 2 Jingyi Zhang 1 1 Shanghai Jiao Tong University, 2 FRB San Francisco 2nd Ann. Bank of Canada U
More informationMACROECONOMIC EFFECTS OF UNCERTAINTY SHOCKS: EVIDENCE FROM SURVEY DATA
MACROECONOMIC EFFECTS OF UNCERTAINTY SHOCKS: EVIDENCE FROM SURVEY DATA SYLVAIN LEDUC AND ZHENG LIU Abstract. We examine the effects of uncertainty on macroeconomic fluctuations. We measure uncertainty
More informationVolatility Appendix. B.1 Firm-Specific Uncertainty and Aggregate Volatility
B Volatility Appendix The aggregate volatility risk explanation of the turnover effect relies on three empirical facts. First, the explanation assumes that firm-specific uncertainty comoves with aggregate
More informationCapital and liquidity buffers and the resilience of the banking system in the euro area
Capital and liquidity buffers and the resilience of the banking system in the euro area Katarzyna Budnik and Paul Bochmann The views expressed here are those of the authors. Fifth Research Workshop of
More informationA. Using instruments by augmenting VAR
IV Estimation A. Using instruments by augmenting VAR B. Using instruments external to VAR (Stock and Watson, 2012) C. Using IV for mixed-frequency inference: Gertler and Karadi (2015) D. Augmented VAR
More informationTax Cuts for Whom? Heterogeneous Effects of Income Tax Changes on Growth & Employment
Tax Cuts for Whom? Heterogeneous Effects of Income Tax Changes on Growth & Employment Owen Zidar University of California, Berkeley NBER Summer Institute 2013: Public Economics July 23, 2013 Owen Zidar
More informationEffects of Increased Elderly Employment on Other Workers Employment and Elderly s Earnings in Japan. Ayako Kondo Yokohama National University
Effects of Increased Elderly Employment on Other Workers Employment and Elderly s Earnings in Japan Ayako Kondo Yokohama National University Overview Starting from April 2006, employers in Japan have to
More informationCharacteristics of the euro area business cycle in the 1990s
Characteristics of the euro area business cycle in the 1990s As part of its monetary policy strategy, the ECB regularly monitors the development of a wide range of indicators and assesses their implications
More informationThe Wealth and Debt of Danish Families
The Wealth and Debt of Danish Families Asger Lau Andersen Department of Economics Slide 1 Danish households have large balance sheets But net wealth comparable to other Nordic countries Household debt
More informationSame, but different: testing monetary policy shock measures
Same, but different: testing monetary policy shock measures Stephanie Ettmeier Alexander Kriwoluzky January 31, 2017 Abstract In this paper we test whether three popular measures for monetary policy, i.e.
More informationMeasuring Uncertainty in Monetary Policy Using Realized and Implied Volatility
32 Measuring Uncertainty in Monetary Policy Using Realized and Implied Volatility Bo Young Chang and Bruno Feunou, Financial Markets Department Measuring the degree of uncertainty in the financial markets
More informationCyclicality of SME Lending and Government Involvement in Banks
Government Involvement in Banks Patrick Behr, FGV/EBAPE Daniel Foos, Deutsche Bundesbank Lars Norden, FGV/EBAPE Conference on Banking Development, Stability and Sustainability November 6, 2015 Santiago
More informationSupplementary Appendix. July 22, 2016
For Online Publication Supplementary Appendix News Shocks In Open Economies: Evidence From Giant Oil Discoveries July 22, 2016 1 Supplementary Appendix C: Model Graphs -.06-.04-.02 0.02.04 Sector 1 Output
More informationInternet Appendix to Leverage Constraints and Asset Prices: Insights from Mutual Fund Risk Taking
Internet Appendix to Leverage Constraints and Asset Prices: Insights from Mutual Fund Risk Taking In this Internet Appendix, we provide further discussion and additional empirical results to evaluate robustness
More informationDo Financial Frictions Amplify Fiscal Policy?
Do Financial Frictions Amplify Fiscal Policy? Evidence from Business Investment Stimulus Eric Zwick and James Mahon* NTA Annual Conference on Taxation, November 13th, 2014 *The views expressed here are
More informationGlobal Imbalances and Bank Risk-Taking
Global Imbalances and Bank Risk-Taking Valeriya Dinger & Daniel Marcel te Kaat University of Osnabrück, Institute of Empirical Economic Research - Macroeconomics Conference on Macro-Financial Linkages
More informationHow Costly is External Financing? Evidence from a Structural Estimation. Christopher Hennessy and Toni Whited March 2006
How Costly is External Financing? Evidence from a Structural Estimation Christopher Hennessy and Toni Whited March 2006 The Effects of Costly External Finance on Investment Still, after all of these years,
More informationslides chapter 6 Interest Rate Shocks
slides chapter 6 Interest Rate Shocks Princeton University Press, 217 Motivation Interest-rate shocks are generally believed to be a major source of fluctuations for emerging countries. The next slide
More informationEconomic Watch Deleveraging after the burst of a credit-bubble Alfonso Ugarte / Akshaya Sharma / Rodolfo Méndez
Economic Watch Deleveraging after the burst of a credit-bubble Alfonso Ugarte / Akshaya Sharma / Rodolfo Méndez (Global Modeling & Long-term Analysis Unit) Madrid, December 5, 2017 Index 1. Introduction
More informationThe dollar, bank leverage and the deviation from covered interest parity
The dollar, bank leverage and the deviation from covered interest parity Stefan Avdjiev*, Wenxin Du**, Catherine Koch* and Hyun Shin* *Bank for International Settlements; **Federal Reserve Board of Governors
More informationThe Comovements Along the Term Structure of Oil Forwards in Periods of High and Low Volatility: How Tight Are They?
The Comovements Along the Term Structure of Oil Forwards in Periods of High and Low Volatility: How Tight Are They? Massimiliano Marzo and Paolo Zagaglia This version: January 6, 29 Preliminary: comments
More informationReal Effects of Financial Distress: The Role of Heterogeneity 1
Real Effects of Financial Distress: The Role of Heterogeneity 1 Francisco Buera 1 Sudipto Karmakar 2 1 Federal Reserve Bank of Chicago and NBER 2 Bank of Portugal and UECE 1 Disclaimer: The views expressed
More informationHousehold Expenditure & Property Taxes
Household Expenditure & Property Taxes Evidence from a Fiscal Consolidation Plan Paolo Surico Riccardo Trezzi London Business School and CEPR Board of Governors of the Federal Reserve System ESSIM - May
More informationBooms and Banking Crises
Booms and Banking Crises F. Boissay, F. Collard and F. Smets Macro Financial Modeling Conference Boston, 12 October 2013 MFM October 2013 Conference 1 / Disclaimer The views expressed in this presentation
More informationRethinking the Link Between Exchange Rates & Inflation: Misperceptions and New Approaches
Rethinking the Link Between Exchange Rates & Inflation: Misperceptions and New Approaches Kristin Forbes External MPC Member Bank of England EACBN discussion forum, Bank of England 28 September 215 Currency
More informationEC307 ECONOMIC POLICY IN THE UK MACROECONOMIC POLICY THE TRANSMISSION OF MONETARY POLICY
EC307 ECONOMIC POLICY IN THE UK MACROECONOMIC POLICY THE TRANSMISSION OF MONETARY POLICY Summary This lecture gets inside the black box, discussing the transmission mechanism of monetary policy, outlining
More informationGlobal Real Rates: A Secular Approach
Global Real Rates: A Secular Approach Pierre-Olivier Gourinchas 1 Hélène Rey 2 1 UC Berkeley & NBER & CEPR 2 London Business School & NBER & CEPR Bank for International Settlements, Zurich, June 2018 17th
More informationBusiness cycle fluctuations Part II
Understanding the World Economy Master in Economics and Business Business cycle fluctuations Part II Lecture 7 Nicolas Coeurdacier nicolas.coeurdacier@sciencespo.fr Lecture 7: Business cycle fluctuations
More information