Financial Frictions and Fluctuations in Volatility
研究了美国大衰退期间企业层面波动率上升如何通过金融摩擦导致产出和就业下降，模型能解释大部分衰退现象。
The US Great Recession featured a large decline in output and labor, tighter financial conditions, and a large increase in firm growth dispersion. We build a model in which increased volatility at the firm level generates a downturn and worsened credit conditions. The key idea is that hiring inputs is risky because financial frictions limit firms’ ability to insure against shocks. An increase in volatility induces firms to reduce their inputs to reduce such risk. Our model can generate most of the decline in output and labor in the Great Recession and the observed increase in firms’ interest rate spreads.