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Financial Shock Transmission to Heterogeneous Firms: The Earnings-Based Borrowing Constraint Channel
Livia ChiţuMagdalena GrotheTatjana SchulzeIne Van Robays
出版International Monetary Fund, 2023-09-15
主題Business & Economics / EconometricsBusiness & Economics / Investments & Securities / BondsBusiness & Economics / Labor / GeneralBusiness & Economics / Economics / MacroeconomicsBusiness & Economics / Money & Monetary PolicyBusiness & Economics / Economics / General
ISBN9798400252938
URLhttp://books.google.com.hk/books?id=OxjeEAAAQBAJ&hl=&source=gbs_api
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註釋We study the heterogeneous impact of jointly identified monetary policy and global risk shocks on corporate funding costs. We disentangle these two shocks in a structural Bayesian Vector Autoregression framework and investigate their respective effects on funding costs of heterogeneous firms using micro-data for the US. We tease out mechanisms underlying the effects by contrasting traditional financial frictions arising from asset-based collateral constraints with the recent earnings-based borrowing constraint hypothesis, differentiating firms across leverage and earnings. Our empirical evidence strongly supports the earnings-based borrowing constraint hypothesis. We find that global risk shocks have stronger and more heterogeneous effects on corporate funding costs which depend on firms' position within the earnings distribution.