Monetary Policy With Firm Heterogeneity

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Monetary Policy with Firm Heterogeneity

Author : Özgen Öztürk
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (138 download)

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Book Synopsis Monetary Policy with Firm Heterogeneity by : Özgen Öztürk

Download or read book Monetary Policy with Firm Heterogeneity written by Özgen Öztürk and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis is composed of three essays, and studies how monetary policy transmission is shaped by firmheterogeneity with particular focus on investment, borrowing, and pricing decisions. In the first chapter, Debt Contracts, Investment and Monetary Policy, I study the role of debt contracts on the transmission of monetary policy to firm-level investment and borrowing. Empirically, using information from a detailed loan-level data matched with balance sheet data and stock return data, I document that in response to a contractionary monetary shock, asset-based borrowers -firms with more pledgeable assets, and higher beta- experience sharper contraction in borrowing and investment than cash flow-based borrowers -firms with higher profitability and alpha. To explore the possible channels and provide microfoundation for the coexistence of these debt contracts, I setup a heterogeneous firm New Keynesian model with limited enforceability. The quantitative model suggests that the traditional collateral channel explains this heterogeneous sensitivity as the cash flow based borrowers are less susceptible to collateral damage from changes in asset prices. Results indicate debt contract type affects the severity of financial frictions and also shapes the monetary policy transmission. The second chapter, TFPR: Dispersion and Cyclicality, coauthored with Russell Cooper, studies the determinants of TFPR, a revenue based measure of total factor productivity. Recent business cycle models are built upon the assumption of countercyclical dispersion in TFPQ, a quantity based measure of total factor productivity, based on evidence of countercyclical dispersion in TFPR. But, these can be very different measures of productivity. The distribution of TFPR is endogenous, dependent upon exogenous shocks and the endogenous determination of prices. An overlapping generations model with monopolistic competition and state dependent pricing is constructed to study the factors that shape the TFPR distribution. The empirical focus is on three key data patterns: (i) countercyclical dispersion of TFPR, (ii) countercyclical dispersion of price changes and (iii) countercyclical frequency of price adjustment. The analysis uncovers two interesting scenarios in which these moments are matched. One arises in the presence of shocks to the dispersion of TFPQ along with a negatively correlated change in the mean of TFPQ. The second arises if the monetary authority responds to shocks to the dispersion of TFPQ by "leaning against the wind". Due to state contingent pricing, the model is nonlinear. Simple correlations mask these nonlinearities of the underlying economy. The real effects of monetary innovations are state dependent, with monetary policy less effective in recessions. In the third chapter, Sectoral Volatility and the Investment Channel of Monetary Policy, written jointly with Thomas Walsh, we investigate how the dispersion of firm-level shocks affect the investment channel of monetary policy. Using firm-level panel data, we construct several measures of dispersion of productivity shocks, time-pooled and timevarying, and interact high-frequency identified monetary policy shocks with these measures of idiosyncratic shock volatility. We document a novel fact: monetary policy has dampened real effects via the investment channel when firm-level TFP shock volatility is high. Our estimates for dampening effects of volatility are statistically and economically significant - moving from the tenth to the ninetieth percentile of the volatility distribution approximately halves point estimates of impulse response functions to contractionary monetary policy shocks. Given that dispersion rises in recessions, these findings offer further evidence as to why monetary policy is weaker in recessions, and emphasize the importance of firm heterogeneity in monetary policy transmission.

Essays on Macroeconomics, Monetary Policy and Firm Heterogeneity

Author : Claire Thürwächter
Publisher :
ISBN 13 : 9789180142670
Total Pages : 0 pages
Book Rating : 4.1/5 (426 download)

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Book Synopsis Essays on Macroeconomics, Monetary Policy and Firm Heterogeneity by : Claire Thürwächter

Download or read book Essays on Macroeconomics, Monetary Policy and Firm Heterogeneity written by Claire Thürwächter and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Monetary Policy, Investment and Firm Heterogeneity

Author : Elena Durante
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (115 download)

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Book Synopsis Monetary Policy, Investment and Firm Heterogeneity by : Elena Durante

Download or read book Monetary Policy, Investment and Firm Heterogeneity written by Elena Durante and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Heterogeneity in Macroeconomics and its Implications for Monetary Policy

Author : Fabian Schnell
Publisher : Springer
ISBN 13 : 3658097310
Total Pages : 180 pages
Book Rating : 4.6/5 (58 download)

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Book Synopsis Heterogeneity in Macroeconomics and its Implications for Monetary Policy by : Fabian Schnell

Download or read book Heterogeneity in Macroeconomics and its Implications for Monetary Policy written by Fabian Schnell and published by Springer. This book was released on 2015-04-28 with total page 180 pages. Available in PDF, EPUB and Kindle. Book excerpt: Fabian Schnell develops a model indicating that by keeping real interest rates too low, monetary policy can distort the allocation of resources across firms and potentially delay economic recovery after a recession. This is a new channel of monetary policy that is especially relevant in view of “Quantitative Easing” programs. A second model focuses on the short-term implications of heterogeneously productive firms, showing an acceleration effect of technology shocks. Finally, an empirical investigation of firms’ price-setting behaviors shows that time-dependent factors, relative to state-dependent ones, play a small role with respect to the probability and the size of a price change. All results provide new insights for monetary policy.

Firm Heterogeneity, Financial Development, Foreign Direct Investment, and Monetary Policy

Author : Jiarui Zhang
Publisher :
ISBN 13 :
Total Pages : 256 pages
Book Rating : 4.:/5 (82 download)

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Book Synopsis Firm Heterogeneity, Financial Development, Foreign Direct Investment, and Monetary Policy by : Jiarui Zhang

Download or read book Firm Heterogeneity, Financial Development, Foreign Direct Investment, and Monetary Policy written by Jiarui Zhang and published by . This book was released on 2012 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Firm Heterogeneity, Capital Misallocation and Optimal Monetary Policy

Author : Beatriz González
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (141 download)

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Book Synopsis Firm Heterogeneity, Capital Misallocation and Optimal Monetary Policy by : Beatriz González

Download or read book Firm Heterogeneity, Capital Misallocation and Optimal Monetary Policy written by Beatriz González and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Firm Heterogeneity in Macroeconomics

Author : Allen Tran
Publisher :
ISBN 13 :
Total Pages : 141 pages
Book Rating : 4.:/5 (9 download)

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Book Synopsis Firm Heterogeneity in Macroeconomics by : Allen Tran

Download or read book Firm Heterogeneity in Macroeconomics written by Allen Tran and published by . This book was released on 2014 with total page 141 pages. Available in PDF, EPUB and Kindle. Book excerpt: Macroeconomic models are often estimated with aggregate data, aligning the aggregated behavior of firms and households in models to the data. However, using aggregate data alone can overlook important details of firm behavior that are crucial for understanding issues in macroeconomics. In this dissertation, I use data on firms at the micro-level to more accurately capture firms behavior and their interactions with one another. This approach is applied to answer questions that relate to the monetary policy transmission mechanism, economic growth from new entrants and welfare gains from new technology. A substantial literature exists which suggests that imperfect information across firms is capable of generating large monetary non-neutralities. In Chapter One, the level of imperfect information is taken from micro-data and used to discipline a standard menu cost model augmented with information frictions. In the model, imperfect information has a negligible effect and real responses to a monetary shock are small and transient in contrast to the bulk of the imperfect information literature. The selection effect dominates the effects of imperfect information as the level of dispersion in inflation expectations in the data is tiny. This result still holds even when the level of dispersion is set to that of the maximal observed levels of dispersion. Chapter Two presents data that suggests new entering establishments compete for customers, rather than inputs in order to grow. Consistent with the data, I present a model where customers satisfice in forming relationships with establishments in the presence of search frictions. The extent of these search frictions is a new margin that affects selection and allocative efficiency. As search becomes less random and more directed, customers are less willing to satisfice, improving allocative efficiency and inducing exit of slower growing firms. When search frictions in product markets are increased to match establishment dynamics in Chile, output falls by roughly 14 per cent relative to the model calibrated to the US, reflecting decreased allocative efficiency. Chapter Three studies the impact of online retail on aggregate welfare. I develop a new measure of store level retail productivity and with a spatial model, calculate each store's equilibrium response to increased competitive pressure from online retailers. From counterfactual exercises mimicking improvements in shipping and increased internet access, I estimate that improvements in online retail increased aggregate welfare from retail activities by 13.4 per cent. Roughly two-thirds of the increase can be attributed to welfare improvements holding fixed market shares, with the remainder due to reallocation. Surprisingly, 8.2 percent of firms actually benefit as they absorb market share from closed stores. Finally, I estimate that the proposed Marketplace Fairness Act would claw back roughly one-third of sales that would otherwise have gone to online retailers between 2007-12.

Monetary Policy, Firm Heterogeneity, and Productvariety

Author : Masashige Hamano
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (119 download)

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Book Synopsis Monetary Policy, Firm Heterogeneity, and Productvariety by : Masashige Hamano

Download or read book Monetary Policy, Firm Heterogeneity, and Productvariety written by Masashige Hamano and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Firm Heterogeneity and the Transmission of Central Bank Credit Policy

Author : Konrad Kuhmann
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)

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Book Synopsis Firm Heterogeneity and the Transmission of Central Bank Credit Policy by : Konrad Kuhmann

Download or read book Firm Heterogeneity and the Transmission of Central Bank Credit Policy written by Konrad Kuhmann and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: I study the role of firm heterogeneity for the transmission of unconventional monetary policy in the form of "credit policy" à la Gertler and Karadi (2011). To this end, I lay out a Two-Agent New-Keynesian model with financially constrained and unconstrained firms and a financial intermediary with an endogenous leverage constraint. I find that, when firms are heterogeneous, aggregate investment is substantially less responsive to credit policy compared to an identical firm setting. Moreover, when debt markets are segmented, credit policy directed exclusively at financially unconstrained firms is most effective. My paper provides a tractable framework to illustrate mechanisms through which firm heterogeneity affects the transmission of credit policy. According to my findings, the presence of firm heterogeneity can be expected to make credit policy less effective than predicted by a representative agent framework.

Crossing the Credit Channel

Author : Gareth Anderson
Publisher :
ISBN 13 :
Total Pages : 74 pages
Book Rating : 4.:/5 (114 download)

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Book Synopsis Crossing the Credit Channel by : Gareth Anderson

Download or read book Crossing the Credit Channel written by Gareth Anderson and published by . This book was released on 2020 with total page 74 pages. Available in PDF, EPUB and Kindle. Book excerpt: We show that credit spreads rise after a monetary policy tightening, yet spread reactions are heterogeneous across firms. Exploiting information from a unique panel of corporate bonds matched with balance sheet data for US non-financial firms, we document that firms with high leverage experience a more pronounced increase in credit spreads than firms with low leverage. A large fraction of this increase is due to a component of credit spreads that is in excess of firms' expected default -- the excess bond premium. Consistent with the spreads response, we also document that high-leverage firms experience a sharper contraction in debt and investment than low-leverage firms. Our results provide evidence that balance sheet effects are crucial for understanding the transmission mechanism of monetary policy.

Young Firms and Monetary Policy Transmission

Author : International Monetary Fund
Publisher : International Monetary Fund
ISBN 13 : 1513571583
Total Pages : 64 pages
Book Rating : 4.5/5 (135 download)

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Book Synopsis Young Firms and Monetary Policy Transmission by : International Monetary Fund

Download or read book Young Firms and Monetary Policy Transmission written by International Monetary Fund and published by International Monetary Fund. This book was released on 2021-03-05 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the role of business dynamism in the transmission of monetary policy by exploitingthe variation in firm demographics across U.S. states. Using local projections, we find that a larger fraction of young firms significantly mutes the effects of monetary policy on the labor market and personal income over the medium term. The firm entry rate and the employment share of young firms are key factors underpinning these results, which are robust to a battery of robustness tests. We develop a heterogeneous-firm model with age-dependent financial frictions that rationalizes the empirical evidence.

Handbook of Research on Emerging Theories, Models, and Applications of Financial Econometrics

Author : Burcu Adıgüzel Mercangöz
Publisher : Springer Nature
ISBN 13 : 3030541088
Total Pages : 465 pages
Book Rating : 4.0/5 (35 download)

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Book Synopsis Handbook of Research on Emerging Theories, Models, and Applications of Financial Econometrics by : Burcu Adıgüzel Mercangöz

Download or read book Handbook of Research on Emerging Theories, Models, and Applications of Financial Econometrics written by Burcu Adıgüzel Mercangöz and published by Springer Nature. This book was released on 2021-02-17 with total page 465 pages. Available in PDF, EPUB and Kindle. Book excerpt: This handbook presents emerging research exploring the theoretical and practical aspects of econometric techniques for the financial sector and their applications in economics. By doing so, it offers invaluable tools for predicting and weighing the risks of multiple investments by incorporating data analysis. Throughout the book the authors address a broad range of topics such as predictive analysis, monetary policy, economic growth, systemic risk and investment behavior. This book is a must-read for researchers, scholars and practitioners in the field of economics who are interested in a better understanding of current research on the application of econometric methods to financial sector data.

Comparative Advantage and Heterogeneous Firms

Author : Andrew B. Bernard
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)

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Book Synopsis Comparative Advantage and Heterogeneous Firms by : Andrew B. Bernard

Download or read book Comparative Advantage and Heterogeneous Firms written by Andrew B. Bernard and published by . This book was released on 2006 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines how country, industry and firm characteristics interact in general equilibrium to determine nations' responses to trade liberalization. When firms possess heterogeneous productivity, countries differ in relative factor abundance and industries vary in factor intensity, falling trade costs induce reallocations of resources both within and across industries and countries. These reallocations generate substantial job turnover in all sectors, spur relatively more creative destruction in comparative advantage industries than comparative disadvantage industries, and magnify ex ante comparative advantage to create additional welfare gains from trade. The relative ascendance of high-productivity firms within industries boosts aggregate productivity and drives down consumer prices. In contrast with the neoclassical model, these price declines dampen and can even reverse the real wage losses of scarce factors as countries liberalize.

Credit Market Imperfections and the Heterogeneous Response of Firms to Monetary Shocks

Author : Jonas Daniel Maurice Fisher
Publisher :
ISBN 13 :
Total Pages : 68 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis Credit Market Imperfections and the Heterogeneous Response of Firms to Monetary Shocks by : Jonas Daniel Maurice Fisher

Download or read book Credit Market Imperfections and the Heterogeneous Response of Firms to Monetary Shocks written by Jonas Daniel Maurice Fisher and published by . This book was released on 1994 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Financial Heterogeneity and the Investment Channel of Monetary Policy

Author : Pablo Ottonello
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (16 download)

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Book Synopsis Financial Heterogeneity and the Investment Channel of Monetary Policy by : Pablo Ottonello

Download or read book Financial Heterogeneity and the Investment Channel of Monetary Policy written by Pablo Ottonello and published by . This book was released on 2018 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the role of heterogeneity in firms' financial positions in determining the investment channel of monetary policy. Empirically, we show that firms with low leverage or high credit ratings are the most responsive to monetary policy shocks. We develop a heterogeneous firm New Keynesian model with default risk to interpret these facts and study their aggregate implications. In the model, firms with high default risk are less responsive to monetary shocks because their marginal cost of external finance is high. The aggregate effect of monetary policy therefore depends on the distribution of default risk across firms.

Labor in the New Economy

Author : Katharine G. Abraham
Publisher : University of Chicago Press
ISBN 13 : 9780226001432
Total Pages : 519 pages
Book Rating : 4.0/5 (14 download)

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Book Synopsis Labor in the New Economy by : Katharine G. Abraham

Download or read book Labor in the New Economy written by Katharine G. Abraham and published by University of Chicago Press. This book was released on 2010-11-15 with total page 519 pages. Available in PDF, EPUB and Kindle. Book excerpt: As the structure of the economy has changed over the past few decades, researchers and policy makers have been increasingly concerned with how these changes affect workers. In this book, leading economists examine a variety of important trends in the new economy, including inequality of earnings and other forms of compensation, job security, employer reliance on temporary and contract workers, hours of work, and workplace safety and health. In order to better understand these vital issues, scholars must be able to accurately measure labor market activity. Thus, Labor in the New Economy also addresses a host of measurement issues: from the treatment of outliers, imputation methods, and weighting in the context of specific surveys to evaluating the strengths and weaknesses of data from different sources. At a time when employment is a central concern for individuals, businesses, and the government, this volume provides important insight into the recent past and will be a useful tool for researchers in the future.

Monetary Policy Uncertainty and Firm Dynamics

Author : Stefano Fasani
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (119 download)

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Book Synopsis Monetary Policy Uncertainty and Firm Dynamics by : Stefano Fasani

Download or read book Monetary Policy Uncertainty and Firm Dynamics written by Stefano Fasani and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper uses a FAVAR model with external instruments to show that the policy uncertainty shocks are recessionary and are associated with an increase in the exit of firms and a decrease in entry and in the stock price with total factor productivity rising in the medium run. To explain this result, we build scale DSGE module featuring firm heterogeneity and endogenous firm entry and exit. These features are crucial in matching the empirical responses. Versions of the model with constant firms or constant firms' exit are unable to re-produce the FAVAR response of firm' entry and exit and suggest a much smaller effect of this shock on real activity.