News Shocks Under Financial Frictions
研究了全要素生产率新闻冲击在金融市场摩擦下的动态效应，发现未来TFP冲击会显著降低信用利差并改善信贷供给，且与信用利差不可预测变动的主要冲击紧密相关。
We examine the dynamic effects of TFP news shocks in the context of frictions in financial markets. We document two new facts. First, a shock to future TFP generates a significant decline in credit spread indicators along with a robust improvement in credit supply indicators. Second, we establish a tight link between TFP news shocks and shocks that explain the majority of un-forecastable movements in credit spread indicators. A DSGE model enriched with a financial sector of the Gertler-Kiyotaki-Karadi type generates very similar quantitative dynamics.