Replication data for: Macroeconomic Effects of Financial Shocks

Principal Investigator(s): View help for Principal Investigator(s) Urban Jermann; Vincenzo Quadrini

Name	File Type	Size	Last Modified
MS2009-0995R1_Data-Programs			10/11/2019 04:35:PM
LICENSE.txt	text/plain	14.6 KB	10/11/2019 12:36:PM

Project Citation:

Jermann, Urban, and Quadrini, Vincenzo. Replication data for: Macroeconomic Effects of Financial Shocks. Nashville, TN: American Economic Association [publisher], 2012. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-11. https://doi.org/10.3886/E112492V1

Project Description

Summary: We document the cyclical properties of US firms' financial flows and show that equity payout is procyclical and debt payout is countercyclical. We then develop a model with debt and equity financing to explore how the dynamics of real and financial variables are affected by "financial shocks." We find that financial shocks contributed significantly to the observed dynamics of real and financial variables. The recent events in the financial sector show up as a tightening of firms' financing conditions which contributed to the 2008-2009 recession. The downturns in 1990-1991 and 2001 were also influenced by changes in credit conditions. (JEL E23, E32, E44, G01, G32)

Scope of Project

JEL Classification:
      E23 Macroeconomics: Production
      E32 Business Fluctuations; Cycles
      E44 Financial Markets and the Macroeconomy
      G01 Financial Crises
      G32 Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

Related Publications

Download this project

Published Versions

V1 [2019-10-11]

Export Metadata

Dublin Core

DDI 2.5

Report a Problem

Found a serious problem with the data, such as disclosure risk or copyrighted content? Let us know.

This material is distributed exactly as it arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigator(s) if further information is desired.