The cyclicality of the finance premium over the business cycle

IF 4.2 2区经济学 Q1 ECONOMICS

Economic Modelling Pub Date : 2024-11-15 DOI:10.1016/j.econmod.2024.106943

George J. Bratsiotis , Chashika D. Kalubowila

引用次数: 0

Abstract

This paper examines the main determinants of the cyclicality of the finance premium in the cost channel framework, which has received less attention in the literature. We decompose the finance premium into a cost effect and a leverage effect. We show that in both the cost channel model and the credit channel model (Bernanke, Gertler and Gilchrist 1999), the cyclicality of the finance premium is determined mainly by the size and sign of the leverage effect. Some key factors that determine the leverage effect are, the nature of shocks, the degree of loan persistence in relation to output or net worth, and the stance of monetary policy.

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融资溢价在商业周期中的周期性

本文研究了成本渠道框架下融资溢价周期性的主要决定因素，该框架在文献中受到的关注较少。我们将融资溢价分解为成本效应和杠杆效应。我们的研究表明，在成本渠道模型和信贷渠道模型（伯南克、格特勒和吉尔克里斯特，1999 年）中，融资溢价的周期性主要由杠杆效应的大小和符号决定。决定杠杆效应的一些关键因素包括：冲击的性质、贷款相对于产出或净值的持续程度以及货币政策的立场。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Economic Modelling ECONOMICS-

CiteScore

8.00

自引率

10.60%

发文量

295

期刊介绍： Economic Modelling fills a major gap in the economics literature, providing a single source of both theoretical and applied papers on economic modelling. The journal prime objective is to provide an international review of the state-of-the-art in economic modelling. Economic Modelling publishes the complete versions of many large-scale models of industrially advanced economies which have been developed for policy analysis. Examples are the Bank of England Model and the US Federal Reserve Board Model which had hitherto been unpublished. As individual models are revised and updated, the journal publishes subsequent papers dealing with these revisions, so keeping its readers as up to date as possible.