【主题】 Credit bubbles and firm dynamics
【摘要】I develop a quantitative model with financial frictions, endogenous firm entry and exit, and heterogeneous firms that have the possibility to renew credit bubbles. Credit bubbles are the credits that are backed by the expectation of future credits rather than future profits. Firms are subject to idiosyncratic bubble crashes, which are linked to defaults. I formalize an aggregate sentiment-underlied financial shock by introducing a time-varying probability of idiosyncratic bubble crashes. As the probability decreases, firms find it more likely to renew their credit bubbles, and thereby less likely to default on debt and exit the market. When calibrated to data, the model implies that bubbles boost capital accumulation in new firms, but depress it in aged firms. The model also produces a protracted increase in output and credit following an expansionary sentiment shock. During the boom, the number of firms increases, the allocative efficiency improves, whereas the average size and productivity of firms decrease.