Data and Code for: Long-Term Finance and Investment with Frictional Asset Markets
Principal Investigator(s): View help for Principal Investigator(s) Julian Kozlowski, FRB St Louis
Version: View help for Version V2
| Name | File Type | Size | Last Modified |
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| replication_july2020 | 07/08/2020 05:04:PM | ||
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text/plain | 1.7 KB | 07/29/2021 06:04:AM |
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text/plain | 435 bytes | 07/07/2020 07:00:PM |
Project Citation:
Kozlowski, Julian. Data and Code for: Long-Term Finance and Investment with Frictional Asset Markets. Nashville, TN: American Economic Association [publisher], 2021. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2021-07-29. https://doi.org/10.3886/E117169V2
Project Description
Summary:
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Trading frictions in financial markets affect more long- than short-term bonds generating an upward sloping yield curve. Long-term financing is more expensive in economies with higher trading frictions so firms choose to borrow and invest in shorter horizons and lower productivity projects. The theory guides a new identification of the slope of liquidity spread in the data. We measure and calibrate the model for the US, and counterfactual exercises suggest that variations in trading frictions can have significant effects on maturity choices and investment. A policy intervention improves liquidity, reduce long-term financial costs and promotes investment in longer-term projects.
Scope of Project
Subject Terms:
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debt maturity;
liquidity;
secondary markets
JEL Classification:
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E44 Financial Markets and the Macroeconomy
G30 Corporate Finance and Governance: General
O16 Economic Development: Financial Markets; Saving and Capital Investment; Corporate Finance and Governance
E44 Financial Markets and the Macroeconomy
G30 Corporate Finance and Governance: General
O16 Economic Development: Financial Markets; Saving and Capital Investment; Corporate Finance and Governance
Geographic Coverage:
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argentina,
United States
Time Period(s):
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1/2000 – 1/2018
Data Type(s):
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program source code
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