Replication data for: Financial Intermediation, Investment Dynamics, and Business Cycle Fluctuations
Principal Investigator(s): View help for Principal Investigator(s) Andrea Ajello
Version: View help for Version V1
Name | File Type | Size | Last Modified |
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2012-0079_Ajello_Replication | 10/26/2021 12:59:PM | ||
LICENSE.txt | text/plain | 14.6 KB | 12/06/2019 11:35:AM |
Project Citation:
Ajello, Andrea. Replication data for: Financial Intermediation, Investment Dynamics, and Business Cycle Fluctuations. Nashville, TN: American Economic Association [publisher], 2016. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-12-06. https://doi.org/10.3886/E116135V1
Project Description
Summary:
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I use micro data to quantify key features of US firm financing. In particular, I establish that a substantial 35 percent of firms' investment is funded using financial markets. I then construct a dynamic equilibrium model that matches these features and fit the model to business cycle data using Bayesian methods. In the model, financial intermediaries enable trades of financial assets, directing funds toward investment opportunities, and charge an intermediation spread to cover their costs. According to the model estimation, exogenous shocks to the intermediation spread explain 25 percent of GDP and 30 percent of investment volatility.
Scope of Project
Subject Terms:
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ficial shocks;
DSGE;
ficing gap
JEL Classification:
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D22 Firm Behavior: Empirical Analysis
D25 Intertemporal Firm Choice: Investment, Capacity, and Financing
E32 Business Fluctuations; Cycles
G21 Banks; Depository Institutions; Micro Finance Institutions; Mortgages
G31 Capital Budgeting; Fixed Investment and Inventory Studies; Capacity
G32 Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
D22 Firm Behavior: Empirical Analysis
D25 Intertemporal Firm Choice: Investment, Capacity, and Financing
E32 Business Fluctuations; Cycles
G21 Banks; Depository Institutions; Micro Finance Institutions; Mortgages
G31 Capital Budgeting; Fixed Investment and Inventory Studies; Capacity
G32 Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
Geographic Coverage:
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United States
Time Period(s):
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1/1989 – 6/2008
Data Type(s):
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aggregate data
Methodology
Data Source:
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BEA, BLS, Federal Reserve Board, Compustat
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