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Macroeconomic Effects of Financial Shocks
Abstract
We document the cyclical properties of US firms' financial flows and show that equity payout is procyclical and debt payout is countercyclical. We then develop a model with debt and equity financing to explore how the dynamics of real and financial variables are affected by “financial shocks.” We find that financial shocks contributed significantly to the observed dynamics of real and financial variables. The recent events in the financial sector show up as a tightening of firms' financing conditions which contributed to the 2008–2009 recession. The downturns in 1990–1991 and 2001 were also influenced by changes in credit conditions. (JEL E23, E32, E44, G01, G32)
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Cites
Agency Costs, Net Worth, And Business Fluctuations
Bernanke, B., Gertler, M., Bernanke, B., & Gertler, M. (1988) · Unknown · doi:10.22004/ag.econ.292693 · Cited by 4,386
Cited by
Capital regulation and monetary policy with fragile banks
Angeloni, I., & Faia, E. (2013) · Journal of Monetary Economics · doi:10.1016/j.jmoneco.2013.01.003 · Cited by 435
Credit Shocks and Aggregate Fluctuations in an Economy with Production Heterogeneity
Khan, A., & Thomas, J. K. (2013) · Journal of Political Economy · doi:10.1086/674142 · Cited by 322
Dynamic Models and Structural Estimation in Corporate Finance
Strebulaev, I. A. (2011) · Foundations and Trends® in Finance · doi:10.1561/0500000035 · Cited by 259
Is Economics Research Replicable? Sixty Published Papers from Thirteen Journals Say 'Usually Not'
Chang, A. C., & Li, P. (2015) · doi:10.2139/ssrn.2669564 · Cited by 217
Metadata
- Authors
- Jermann, U., & Quadrini, V.
- Venue
- American Economic Review
- Publisher
- American Economic Association
- Published
- 2012-02-01
- Volume
- 102
- Issue
- 1
- Pages
- 238-271
- ISSN
- 0002-8282 (ISSN-L)
- OpenAlex
- W3121467050
- Cited by
- 1,205
- References
- 1
- FWCI
- 204.09
- Type
- journal article
- Language
- en
- Open access
- closed
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