Reassessing the Relevance of Financial Shocks in an Estimated Heterogeneous Firm Model
通过估计的异质性企业模型研究金融冲击的传导，发现受约束企业削减投资，但不受约束企业因价格和利率下降而增加投资，资本调整摩擦是限制后者抵消作用的关键。
I study the transmission of financial shocks using an estimated heterogeneous firm model. Following a contractionary financial shock, financially constrained firms cut investment, but unconstrained firms increase investment due to the lower capital price and interest rate. After matching the empirical dynamics of prices and the price elasticity of investment, I find a limited role of the unconstrained firms’ response in dampening the aggregate investment decline. Nonfinancial capital adjustment friction is the key to generating this result. Without the capital adjustment friction, unconstrained firms’ investment becomes unrealistically sensitive to prices, and the model would understate the financial shocks’ aggregate relevance.