Quantifying Reduced‐Form Evidence on Collateral Constraints
从标准动态投资模型出发，利用公司金融文献中的简化形式系数估计抵押约束的宏观效应，发现其导致产出损失7.1%、全要素生产率损失1.4%。
ABSTRACT This paper quantifies the aggregate effects of financing constraints. We start from a standard dynamic investment model with collateral constraints. In contrast to the existing quantitative literature, our estimation does not target the mean leverage ratio to identify the scope of financing frictions. Instead, we use a reduced‐form coefficient from the recent corporate finance literature that connects exogenous debt capacity shocks to corporate investment. Relative to a frictionless benchmark, collateral constraints induce losses of 7.1% for output and 1.4% for total factor productivity (TFP) (misallocation). We show these estimated losses tend to be more robust to misspecification than estimates obtained by targeting leverage.