横截面金融条件、商业周期和贷款渠道

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics Pub Date : 2024-05-06 DOI:10.1016/j.jmoneco.2024.103597

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引用次数: 0

摘要

我记录了美国股票收益率和信贷息差横截面分布的商业周期特性。金融企业收益偏度（SRF）最能预测经济活动，同时也是贷款渠道的晴雨表--信贷供应的变化超出了借款人条件所能解释的范围。SRF 还能预测企业资产负债表之外的企业级投资。利用结构模型，我估计虽然 SRF 具有高度的周期性，但金融企业资产质量横截面偏度的冲击有助于解释历史事件中的 GDP 增长。这些结果表明，金融企业的横截面在商业周期中发挥着重要作用。

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Cross-sectional financial conditions, business cycles and the lending channel

I document business cycle properties of the cross-sectional distributions of U.S. stock returns and credit spreads. The skewness of returns of financial firms (SRF) best predicts economic activity, while being a barometer for the lending channel—credit supply shifts beyond what is explained by borrowers’ conditions. SRF also predict firm-level investment beyond firms’ balance sheets. Using a structural model, I estimate that while SRF is highly cyclical, shocks to the cross-sectional skewness of financial firms’ asset quality help explain GDP growth in historical episodes. These results point to the cross-section of financial firms playing a prominent role in business cycles.

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来源期刊

Journal of Monetary Economics Multiple-

CiteScore

7.20

自引率

4.90%

发文量

审稿时长

74 days

期刊介绍： The profession has witnessed over the past twenty years a remarkable expansion of research activities bearing on problems in the broader field of monetary economics. The strong interest in monetary analysis has been increasingly matched in recent years by the growing attention to the working and structure of financial institutions. The role of various institutional arrangements, the consequences of specific changes in banking structure and the welfare aspects of structural policies have attracted an increasing interest in the profession. There has also been a growing attention to the operation of credit markets and to various aspects in the behavior of rates of return on assets. The Journal of Monetary Economics provides a specialized forum for the publication of this research.