Quantifying Reduced-Form Evidence on Collateral Constraints - Archive ouverte HAL Access content directly
Journal Articles Journal of Finance Year : 2022

Quantifying Reduced-Form Evidence on Collateral Constraints

(1) , (2, 3, 4) , (5, 6) , (7, 4, 8) , (9, 8, 4)
1
2
3
4
5
6
7
8
9

Abstract

This paper quantifies the aggregate effects of financing constraints. We start from a standard dynamic investment model with collateral constraints. In contrast to the existing quantitative literature, our estimation does not target the mean leverage ratio to identify the scope of financing frictions. Instead, we use a reduced-form coefficient from the recent corporate finance literature that connects exogenous debt capacity shocks to corporate investment. Relative to a frictionless benchmark, collateral constraints induce losses of 7.1% for output and 1.4% for total factor productivity (TFP) (misallocation). We show these estimated losses tend to be more robust to misspecification than estimates obtained by targeting leverage.
Fichier principal
Vignette du fichier
2022_catherine_chaney_huang_sraer_thesmar_quantifying_reduced_form_evidence_on_collateral_constraints.pdf (687.81 Ko) Télécharger le fichier
Origin : Publisher files allowed on an open archive

Dates and versions

hal-03869851 , version 1 (24-11-2022)

Licence

Attribution - NonCommercial - NoDerivatives - CC BY 4.0

Identifiers

Cite

Sylvain Catherine, Thomas Chaney, Zongbo Huang, David Sraer, David Thesmar. Quantifying Reduced-Form Evidence on Collateral Constraints. Journal of Finance, 2022, 77 (4), pp.2143-2181. ⟨10.1111/jofi.13158⟩. ⟨hal-03869851⟩
0 View
0 Download

Altmetric

Share

Gmail Facebook Twitter LinkedIn More