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1、FinancialFrictionsonCapitalAllocation:ATransmissionMechanismofTFPFluctuationsKaijiChenyZhengSongzUniversityofOsloFudanUniversityThisversion:November30th,2009AbstractThispaperprovidesatheoryof…nancialfrictionsasatransmissionmechanismforprim-itiveshockstotranslateintoaggregateTFP‡uctuations.Inou
2、rmodel,…nancialfrictionsdistortexistingcapitalallocationacrossdi¤erentproductionunits,ratherthaninvestmentinnewcapital.NewsshocksonfuturetechnologyimprovementareintroducedasadevicetoidentifyTFP‡uctuationsoriginatingfromthismechanism.Oursimulationshowsthatvariationsin…nancialfrictionsinresponset
3、onewsshockscangeneratesizable‡uctuationsinaggregateTFPand,thus,businesscyclesbeforetheactualtechnologychangeisrealized.UsingacombineddatasetfromCOMPUSTATandIBES,we…ndthattheempiricalre-sponsesofcapitalacquisitiontoprospectsaboutfuturepro…tabilityaresigni…cantlylargerfor…rmsmorelikelytobe…nancia
4、llyconstrained,whilesuchapatterndoesnotexistfornewcapitalinvestment.Furthermore,capitalacquisitionofconstrained…rmsisfoundtobemoreprocyclicalthanthatforunconstrainedones.Ourevidencethusprovidesstrongsupportfortheimportanceof…nancialfrictionsoncapitalallocationasthetransmissionmechanismproposedb
5、yourtheory.JELClassi…cation:E32,G34Keywords:FinancialFriction,CapitalReallocation,TFPFluctuation,NewsShockWewouldliketothankSteveBond,V.V.Chari,Jean-PierreDanthine,MikeGolosov,JohnHassler,AsyeImrohoroglu,TimothyKehoe,StephenParente,VincenzoQuadrini,AdrianoRampini,JoséVictorRios-Rull,KjetilStor
6、esletten,ChengWang,FabrizioZilibottiandseminarparticipantsinFederalReserveBankofCleve-land,HongKongUniversityofScienceandTechnology,UniversityofHongKong,UniversityofSouthernCalifor-nia,StockholmSchoolofEconomics,UppsalaUniversity,UniversityofZurich,2009MinnesotaMacroeconomicWorkshop,2007AnnualM
7、eetingsoftheSocietyforEconomicDynamics,2007Mid-westMacroMeetings,2007NorthAmericanSummerMeetingoftheEconometricSociety,IIREDgWorkshoponDynamicGeneralEqui-libriumMacroeconomics,1stNordicSummerSymposiuminMacroeconomicsand2007SAETCon
