2025-06-08-美联储-公司债务到期与商业周期波动（英）_55页_2mb

Corporate Debt Maturity and Business Cycle Fluctuations

Model Summary

• DSGE Framework: Incorporates defaultable long-term debt and costly equity issuance.
• Key Mechanisms:
  • Balance Sheet Channel: Leverage elasticity reduces net worth decline via debt dilution.
  • Financial Accelerator: Credit supply shocks amplify contractions through equity adjustment costs.
• Debt Maturity Impact: Long-term debt mitigates economic contractions by dampening responses to financial shocks.

Empirical Findings

• Credit Supply Shock: Drives over 50% of output fluctuations, explaining co-movements in macroeconomic and financial variables.
• Equity Adjustment Costs: Estimated via firm-level data, substantial costs (ψ ≈ 10.86) align with data.
• Variance Decomposition:
  • Output & Investment: Primarily driven by credit supply shocks.
  • Financial Variables: High correlation driven by credit supply.
  • Other Shocks (risk, investment efficiency): Less impactful without accounting for debt maturity and equity costs.

Quantitative Contributions

• Methodology: Novel algorithm solves for leverage policy function derivatives, enabling Bayesian estimation.
• Impulse Responses:
  • Credit supply shocks cause significant contractions in key variables (output, investment, credit).
  • Risk shocks lead to equity increases in baseline model; dampened in short-term debt scenarios.

Conclusions

• Corporate debt maturity and equity costs are crucial for identifying credit supply shocks.
• Policymakers should account for long-term debt in macroeconomic modeling to accurately analyze fluctuations.