Data and Code for "Reassessing the Relevance of Financial Shocks in an Estimated Heterogeneous Firm Model"

I study the transmission of financial shocks using an estimated heterogeneous firm model. Following a contractionary financial shock, financially constrained firms cut investment, but unconstrained firms increase investment due to the lower capital price and interest rate. After matching the empirical dynamics of prices and the price elasticity of investment, I find a limited role of the unconstrained firms’ response in dampening the aggregate investment decline. Non-financial capital adjustment friction is the key to generating this result. Without the capital adjustment friction, unconstrained firms’ investment becomes unrealistically sensitive to prices, and the model would understate the financial shocks’ aggregate relevance.

本文基于估计异质性企业模型（heterogeneous firm model），探究金融冲击的传导机制。当遭遇紧缩性金融冲击时，受融资约束的企业会削减投资，而不受融资约束的企业则会因资本价格与利率下行而增加投资。在匹配价格的经验动态与投资价格弹性特征后，本文发现无融资约束企业的响应对总投资下滑的抑制作用十分有限。非金融资本调整摩擦是产生该研究结论的关键因素。若不存在资本调整摩擦，无融资约束企业的投资对价格的敏感度将达到不合现实的水平，此时模型会低估金融冲击的总影响程度。