دانلود رایگان مقاله واسطه گریهای مالی و پولی، دینامیک مصرف و چرخه کسب و کار

Abstract

The recent financial crisis highlighted the need to deepen our understanding of the impact of the financial intermediation sector on the real economy. We examine the quantitative implications of financial intermediation and firm's financing frictions in explaining the observed cyclical properties of both real and financial variables. We find that a modified version of the financial intermediation framework of Gertler and Karadi (2011) augmented with financing frictions in production does a good job in matching the unconditional moments of financial fluctuations without compromising key real co-movements. Our results are relevant for macro-prudential policy analysis as they underscore the importance of carefully identifying the sources of aggregate fluctuations in models in which financial intermediaries and financial frictions play a non-trivial role.

6. Conclusion

The recent financial crisis made it acutely necessary to deepen our understanding of the important role of financial intermediation on aggregate fluctuations. This study makes two contributions to the literature. First, I jointly document five facts of macro and financial variables, namely, (i) counter-cyclical credit spread; (ii) pro-cyclical debt; (iii) pro-cyclical net worth, (iv) counter-cyclical leverage; and (v) negative co-movement between labor and average productivity. Findings (i)–(iv) are relatively new and not well understood properties of the aggregate balance sheet of the financial sector. On the real side, I confirm the finding that labor productivity has become counter-cyclical since 1984. Second, I attempt to explain these facts by developing a basic extension of the financial intermediation framework of Gertler and Kiyotaki (2010) and Gertler and Karadi (2011). Namely, I assume (i) financing frictions in production and (ii) only two sources of fluctuations, productivity and monetary shocks. The extended model has a superior fit in terms of the cyclical properties of both macro and financial variables. Importantly, the extended model fits the cyclical properties of financial variables without compromising crucial cyclical properties of consumption. Our results highlight (1) important real effects of firm's financing constraints and (2) the need to discipline the identification of alternative sources of shocks in models that incorporate financial intermediation and financial frictions. Our findings are relevant for the analysis of macro-prudential policy in the light that financial shocks have been found to have important real effects (Gilchrist and Zakrajsek, 2012; Mallick and Sousa, 2013; Christiano et al., 2014; Kamber et al., 2015) and that there are benefits of responding to financial imbalances (Baillu et al., 2015).