The Cyclicality of the Finance Premium Over the Business Cycle Economic Modelling

This paper examines the main determinants of the cyclicality of the finance premium in the cost channel framework, which has received less attention in the literature. We decompose the finance premium into a cost effect and a leverage effect. We show that in both the cost channel model and the credit channel model (Bernanke, Gertler and Gilchrist 1999), the cyclicality of the finance premium is determined mainly by the size and sign of the leverage effect. Some key factors that determine the leverage effect are, the nature of shocks, the degree of loan persistence in relation to output or net worth, and the stance of monetary policy.

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本文深入探讨了成本渠道框架下金融溢价周期性的主要决定因素，该框架在文献中未得到充分关注。我们将金融溢价分解为成本效应和杠杆效应。研究表明，在成本渠道模型和信用渠道模型（伯南克、格特勒和吉尔克里斯特，1999年）中，金融溢价的周期性主要由杠杆效应的大小和符号决定。决定杠杆效应的一些关键因素包括冲击的性质、贷款持续性与产出或净资产的程度，以及货币政策立场。此外，您还将在此找到论文的稿件、代码以及技术附录。