Corporate Financing Activities and Business Cycle Fluctuations
研究发现，基于现金流量表构建的企业融资活动指数能显著预测未来GDP，其预测能力超过信用利差、总盈余等传统指标，且意外下降会导致经济持续收缩四个季度。
ABSTRACT We examine whether corporate financing activities (CFA) in aggregate convey information about the macroeconomy. Using statement of cash flow information to construct a bottom-up measure of CFA, we find that it has significant predictive power for future economic activity when we exclude a small set of firms whose external financing is largely insulated from macroeconomic conditions. This CFA index has predictive power beyond that of the Gilchrist-Zakrajsek credit spread, aggregate earnings, and other macroeconomic indicators in predicting future GDP in both in-sample and out-of-sample forecasting tests. Impulse responses from a structural vector autoregression show that unexpected decreases in this CFA index lead to a large and persistent contraction in economic activity for up to four quarters. Our results suggest that a simple portfolio-based CFA measure helps capture supply-of-capital effects from the financial accelerator mechanism and hence has significant incremental predictive power for real economic activity. Data Availability: Data are available from the public sources cited in the text. JEL Classifications: E32; E37; G17; M41.