Financial Frictions and the Extensive Margin of Activity代码

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Financial Frictions and the Extensive Margin of Activity

Jean-Christophe Poutineau Gauthier Vermandely
This version: September 25, 2015
Abstract
This paper evaluates the role of nancial intermediaries, such as banks, on the
extensive margin of activity. We build a DSGE model that combines the endogenous
determination of the number of rms operating on the goods market with nancial
frictions through a nancial accelerator mechanism. We more particularly account for
the fact that the creation of a new activity partly requires loans to nance spendings
during the setting period. This model is estimated on US data between 1993Q1
to 2012Q3. We get three main results. First, nancial frictions play a key role in
determining the number of new rms. Second, in contrast with real macroeconomic
shocks (where investment in existing production lines and the creation of new rms
move in the opposite direction), nancial shocks have a cumulative eect on the two
margins of activity, amplifying macroeconomic
uctuations. Third, the critical role of
nancial factors is mainly observed in the period corresponding to the creation of new
rms. In the long run, the variance of the eective entry share is almost explained
by supply shocks.
JEL classication: E31; E32; E52
Keywords: Extensive Margin; Financial Frictions; Financial Accelerator; DSGE model;
Bayesian estimation

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