Financial Frictions and the Persistence of History: A Quantitative Exploration

• 영문명: Financial Frictions and the Persistence of History: A Quantitative Exploration
• 발행기관: 한국계량경제학회
• 저자명: Francisco J. Buera Yongseok Shin
• 간행물 정보: 『한국계량경제학회 학술대회 논문집』2007년 하계학술대회, 1~30쪽, 전체 30쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2007.08.30

영문 초록

This paper shows that financial frictions matter for the transition dynamics of the macroeconomy. Take, for example, the miracle and post-communist economies, whose growth experiences do not conform to the predictions of the standard neoclassical growth model: Their growth and investment rates were low initially and peaked in latter stages, while the real interest rates tended to be low along the transition. We incorporate financial frictions and resource misallocation into an otherwise-standard growth model, and account for the observed growth dynamics. We calibrate the model by matching its stationary equilibrium to the US data on standard macroeconomic aggregates, wealth distribution, and firms’ external financing. Our model economy converges slowly to the steady state, with the interest rate and the investment rate starting low and rising over time. We also obtain a new result on heterogeneity and macroeconomic dynamics: Even though strict approximate aggregation—that relies only on unconditional first moments—does not hold in our economy, the effect of heterogeneity on aggregate dynamics is well captured by a small number of conditional moments.

목차

1 Model

2 Quantitative Exploration

3 Heterogeneity and Aggregate Dynamics

4 Conclusions