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Essays in Macroeconomics and Finance
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| 자료유형 | 학위논문 |
|---|---|
| 서명/저자사항 | Essays in Macroeconomics and Finance. |
| 개인저자 | Jeenas, Priit. |
| 단체저자명 | New York University. Economics. |
| 발행사항 | [S.l.]: New York University., 2019. |
| 발행사항 | Ann Arbor: ProQuest Dissertations & Theses, 2019. |
| 형태사항 | 311 p. |
| 기본자료 저록 | Dissertations Abstracts International 81-03A. Dissertation Abstract International |
| ISBN | 9781085671057 |
| 학위논문주기 | Thesis (Ph.D.)--New York University, 2019. |
| 일반주기 |
Source: Dissertations Abstracts International, Volume: 81-03, Section: A.
Advisor: Lagos, Ricardo. |
| 이용제한사항 | This item must not be sold to any third party vendors.This item must not be added to any third party search indexes. |
| 요약 | This dissertation consists of three chapters, each of them containing an essay on financial frictions and the macroeconomy.The first chapter, "Monetary Policy Shocks, Financial Structure, and Firm Activity", studies the differences in how nonfinancial firms respond to high-frequency identified monetary policy shocks conditional on various measures of their financial conditions. In line with the effects of monetary policy shocks on real aggregate activity, the most significant disparities between firms arise slowly, over a horizon of approximately 4 to 12 quarters after a shock. Among the explanatory financial variables considered, both higher leverage and lower liquid asset holdings at the time of a contractionary monetary shock tend to predict relatively lower fixed capital, inventory and sales growth in the cross-section of firms. When simultaneously controlling for both the relevance of leverage and liquid assets, it is the latter that explains the disparities over the longer horizon. Low liquid asset holdings are also shown to be associated with stronger pass-through to borrowing costs.The second chapter, "Firm Balance Sheet Liquidity, Monetary Policy Shocks, and Investment Dynamics", evaluates the role of firms' balance sheet liquidity in the transmission of monetary policy to investment. It focuses on the findings of the first chapter which imply that in response to contractionary monetary policy shocks, both firms with higher leverage or with fewer liquid assets reduce investment relative to others. However, controlling for liquid assets, leverage loses its significance in explaining such heterogeneity while liquid assets remain important. To explain these results, I introduce fixed issuance costs on long-term debt financing in an otherwise conventional general equilibrium model of heterogeneous firms and borrowing constraints. In the calibrated model, balance sheet liquidity predicts investment sensitivity to corporate debt rates better than leverage. Fixed issuance costs give rise to relatively wealthy firms who are not borrowing constrained but exhibit large marginal propensities to invest out of liquid income. This can considerably amplify the aggregate effects of shocks and policies which affect firms' cash flows.The third chapter, "Risk Aversion, Labor Risk, and Aggregate Risk Sharing with Financial Frictions", studies how borrowers and lenders share aggregate risk in a general equilibrium framework with financial imperfections. If agents in workhorse business cycle models with financial frictions can index contracts to observable aggregates, they share aggregate financial risk (almost) perfectly, eliminating the financial accelerator mechanism. I show that in the standard specification of the Bernanke, Gertler, and Gilchrist (1999) framework with total factor productivity shocks this happens because: first, borrowers and lenders are implicitly assumed to have identical, logarithmic utility, and second, the representative lender's human wealth comoves closely with aggregate financial wealth. Non-state-contingent borrowing rates can arise optimally if lenders' risk aversion is increased to plausible degrees, or at identical preferences, lenders face uninsurable countercyclical idiosyncratic risk in labor productivity. |
| 일반주제명 | Economics. |
| 언어 | 영어 |
| 바로가기 | 
: 이 자료의 원문은 한국교육학술정보원에서 제공합니다. |
