Comment on bank liabilities channel
In: Journal of Monetary Economics, Band 89, S. 45-50
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In: Journal of Monetary Economics, Band 89, S. 45-50
In: American economic review, Band 102, Heft 4, S. 1692-1720
ISSN: 1944-7981
Using micro-level data, we construct a credit spread index with considerable predictive power for future economic activity. We decompose the credit spread into a component that captures firm-specific information on expected defaults and a residual component–– the excess bond premium. Shocks to the excess bond premium that are orthogonal to the current state of the economy lead to declines in economic activity and asset prices. An increase in the excess bond premium appears to reflect a reduction in the risk-bearing capacity of the financial sector, which induces a contraction in the supply of credit and a deterioration in macroeconomic conditions.
In: Journal of Monetary Economics, Band 56, Heft 4, S. 471-493
In: International journal of forecasting, Band 30, Heft 3, S. 691-713
ISSN: 0169-2070
In: Journal of monetary economics, Band 139, S. 21-40
In: American economic review, Band 107, Heft 3, S. 785-823
ISSN: 1944-7981
Using a novel dataset, which merges good-level prices underlying the PPI with the respondents' balance sheets, we show that liquidity constrained firms increased prices in 2008, while their unconstrained counterparts cut prices. We develop a model in which firms face financial frictions while setting prices in customer markets. Financial distortions create an incentive for firms to raise prices in response to adverse financial or demand shocks. This reaction reflects the firms' decisions to preserve internal liquidity and avoid accessing external finance, factors that strengthen the countercyclical behavior of markups and attenuate the response of inflation to fluctuations in output. (JEL E31, E32, E44, G01, G32, L11)
In: Journal of monetary economics, S. 103573
In: Journal of international economics, Band 136, S. 103603
ISSN: 0022-1996
In: Journal of Monetary Economics, Band 98, S. 80-97
In: Journal of Monetary Economics, Band 62, S. 23-40