Data for: Debt overhang in a business cycle model

Abstract of associated article: We study the macroeconomic implications of the debt overhang distortion on firms׳ investment and labor decisions. We show that the distortion arises when the levels of investment and labor are non-contractible and chosen after the signing of the debt contract. The financial friction manifests itself as investment and labor wedges that move counter-cyclically, increasing during recessions when the risk of default is high. Their dynamics amplify and propagate the effects of shocks to productivity, government spending, volatility, and funding costs. Both the size and the persistence of these effects are quantitatively important.

关联论文摘要：本文研究债务悬置（debt overhang）扭曲对企业投资与雇佣决策的宏观经济效应。研究发现，当投资与雇佣水平不可缔约，且相关决策于债务合约签署后作出时，便会引发该扭曲。此金融摩擦（financial friction）表现为投资楔子与雇佣楔子（investment and labor wedges），二者呈逆周期波动特征：在违约风险高企的衰退期，楔子规模会进一步扩大。这类楔子的动态变化会放大并传导生产率、政府支出、波动率以及融资成本冲击的影响。上述影响的幅度与持续性均具备显著的量化意义。