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  1. Risk-taking, capital allocation and optimal monetary policy
    Autor*in: David, Joel M.; Zeke, David
    Erschienen: [2021]
    Verlag:  Federal Reserve Bank of Chicago, [Chicago, Illinois]

    We study the role of firm heterogeneity in affecting business cycle dynamics and optimal stabilization policy. Firms differ in their degree of cyclicality, and hence, exposure to aggregate risk, leading to firm-specific risk premia that influence... mehr

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 244
    Fernleihe:
    keine Fernleihe

     

    We study the role of firm heterogeneity in affecting business cycle dynamics and optimal stabilization policy. Firms differ in their degree of cyclicality, and hence, exposure to aggregate risk, leading to firm-specific risk premia that influence resource allocations. The heterogeneous firm economy can be recast in a representative firm formulation, but where total factor productivity (TFP) is endogenous and depends on the resource allocation. The model uncovers a novel tradeoff between the long-run level and volatility of TFP. Inefficiencies distort this tradeoff and result in either excessive volatility or depressed output, implying a role for corrective policy. Embedding this mechanism into a workhorse New Keynesian model, we show that allocational considerations can strengthen the incentives for leaning against the wind, i.e., optimal policy is more strongly countercyclical than in an observationally equivalent economy that abstracts from heterogeneity. A quantitative exercise suggests that the losses from ignoring heterogeneity can be substantial, which stem largely from a less productive allocation of resources and so depressed TFP and output.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/244250
    Schriftenreihe: [Working paper] / Federal Reserve Bank of Chicago ; WP 2021, 01 (January 13, 2021)
    Schlagworte: monetary policy; heterogeneous firms; misallocation; productivity
    Umfang: 1 Online-Ressource (circa 58 Seiten)
  2. Risk-adjusted capital allocation and misallocation
    Autor*in: David, Joel M.; Schmid, Lukas; Zeke, David
    Erschienen: [2020]
    Verlag:  Federal Reserve Bank of Chicago, [Chicago, Illinois]

    We develop a theory linking "misallocation," i.e., dispersion in marginal products of capital (MPK), to macroeconomic risk. Dispersion in MPK depends on (i) heterogeneity in firm-level risk premia and (ii) the price of risk, and thus is... mehr

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    Resolving-System (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 244
    Fernleihe:
    keine Fernleihe

     

    We develop a theory linking "misallocation," i.e., dispersion in marginal products of capital (MPK), to macroeconomic risk. Dispersion in MPK depends on (i) heterogeneity in firm-level risk premia and (ii) the price of risk, and thus is countercyclical. We document strong empirical support for these predictions. Stock market-based measures of risk premia imply that risk considerations explain about 30% of observed MPK dispersion among US firms and rationalize a large persistent component in firm-level MPK. Risk-based MPK dispersion, although not prima facie inefficient, lowers long-run aggregate productivity by as much as 6%, suggesting large "productivity costs" of business cycles.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/244248
    Schriftenreihe: [Working paper] / Federal Reserve Bank of Chicago ; WP 2020, 34 (December 18, 2020)
    Umfang: 1 Online-Ressource (circa 85 Seiten), Illustrationen
  3. International diversification, reallocation, and the labor share
    Autor*in: David, Joe; Rancière, Romain; Zeke, David
    Erschienen: 30 April 2023
    Verlag:  Centre for Economic Policy Research, London

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    Verlag (lizenzpflichtig)
    Verlag (lizenzpflichtig)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    LZ 161
    Fernleihe:
    keine Fernleihe

    Standort:
    Universitätsbibliothek Mannheim
    Fernleihe:
    keine Fernleihe
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Array ; DP18128
    Schlagworte: Labor share; International diversification
    Umfang: 1 Online-Ressource (circa 70 Seiten), Illustrationen
  4. International Diversification, Reallocation, and the Labor Share
    Autor*in: David, Joel M.; Rancière, Romain; Zeke, David
    Erschienen: April 2023
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    How does growing international financial diversification affect firm-level and aggregate labor shares? We study this question using a novel framework of firm labor choice in the face of aggregate risk. The theory implies a cross-section of labor risk... mehr

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    Standort:
    Sächsische Landesbibliothek - Staats- und Universitätsbibliothek Dresden
    Fernleihe:
    keine Fernleihe

    Standort:
    Universitätsbibliothek Freiburg
    Fernleihe:
    keine Fernleihe

    Standort:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
    Fernleihe:
    keine Fernleihe

    Standort:
    Staats- und Universitätsbibliothek Hamburg Carl von Ossietzky
    Fernleihe:
    keine Fernleihe

    Standort:
    Technische Informationsbibliothek (TIB) / Leibniz-Informationszentrum Technik und Naturwissenschaften und Universitätsbibliothek
    Fernleihe:
    keine Fernleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Fernleihe:
    keine Fernleihe

     

    How does growing international financial diversification affect firm-level and aggregate labor shares? We study this question using a novel framework of firm labor choice in the face of aggregate risk. The theory implies a cross-section of labor risk premia and labor shares that appear as markups in firm-level data. International risk sharing leads to a reallocation of labor towards riskier/low labor share firms alongside a rise in within-firm labor shares, matching key micro-level facts. We use cross-country firm-level data to document a number of empirical patterns consistent with the theory, namely: (i) riskier firms have lower labor shares and (ii) international financial diversification is associated with a reallocation towards risky/low labor share firms. Our estimates suggest the reallocation effect has dominated the within effect in recent decades; on net, increased financial integration has reduced the corporate labor share in the US by about 2.5 percentage points, roughly one-third of the total decline since the 1970s

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: NBER working paper series ; no. w31168
    Schlagworte: Internationale Geschäftsbeziehungen; Internationale Faktormobilität; Kapitalmobilität; Internationale Unternehmensfinanzierung; Lohnquote; Welt; International Factor Movements and International Business; International Investment; Long-Term Capital Movements; Multinational Firms; International Business; Macroeconomic Aspects of International Trade and Finance; Labor
    Umfang: 1 Online-Ressource, illustrations (black and white)
    Bemerkung(en):

    Hardcopy version available to institutional subscribers
  5. Aggregate implications of deviations from Modigliani-Miller
    a sufficient statistics approach
    Autor*in: Kurtzman, Robert; Zeke, David
    Erschienen: June 27, 2023
    Verlag:  Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, Washington, D.C.

    Zugang:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    VS 412
    Fernleihe:
    keine Fernleihe
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    Schriftenreihe: Finance and economics discussion series ; 2023, 045
    Schlagworte: Heterogeneous Firms; General Equilibrium; Firm Entry; Agency Costs; CostlyExternal Finance; Sufficient Statistics
    Umfang: 1 Online-Ressource (circa 76 Seiten), Illustrationen
  6. International diversification, reallocation, and the labor share
    Autor*in: David, Joel M.; Rancière, Romain; Zeke, David
    Erschienen: [2023]
    Verlag:  Federal Reserve Bank of Chicago, [Chicago, Illinois]

    How does growing international financial diversification affect firm-level and aggregate labor shares? We study this question using a novel framework of firm labor choice in the face of aggregate risk. The theory implies a cross-section of labor risk... mehr

    Zugang:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)
    Resolving-System (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 244
    Fernleihe:
    keine Fernleihe

     

    How does growing international financial diversification affect firm-level and aggregate labor shares? We study this question using a novel framework of firm labor choice in the face of aggregate risk. The theory implies a cross-section of labor risk premia and labor shares that appear as markups in firm-level data. International risk sharing leads to a reallocation of labor towards riskier/low labor share firms alongside a rise in within-firm labor shares, matching key micro-level facts. We use cross-country firm-level data to document a number of empirical patterns consistent with the theory, namely: (i) riskier firms have lower labor shares and (ii) international financial diversification is associated with a reallocation towards risky/low labor share firms. Our estimates suggest the reallocation effect has dominated the within effect in recent decades; on net, increased financial integration has reduced the corporate labor share in the US by about 2.5 percentage points, roughly one-third of the total decline since the 1970s.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/284057
    Schriftenreihe: [Working paper] / Federal Reserve Bank of Chicago ; WP 2023, 16 (April 20, 2023)
    Schlagworte: Internationale Geschäftsbeziehungen; Internationale Faktormobilität; Kapitalmobilität; Internationale Unternehmensfinanzierung; Lohnquote; Welt
    Umfang: 1 Online-Ressource (circa 68 Seiten), Illustrationen
  7. Risk-adjusted capital allocation and misallocation
    Autor*in: Schmid, Lukas; David, Joel M.; Zeke, David
    Erschienen: 26 September 2018
    Verlag:  Centre for Economic Policy Research, London

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    W 32 (13205)
    Fernleihe:
    uneingeschränkte Fernleihe, Kopie und Ausleihe
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Druck
    Schriftenreihe: Discussion paper series / Centre for Economic Policy Research ; DP13205
    Schlagworte: Konjunktur; Grenzkosten; Kapitalkosten; Risikoprämie
    Umfang: 75 Seiten, Illustrationen
    Bemerkung(en):

    Erscheint auch als Online-Ausgabe
  8. Misallocation costs of digging deeper into the central bank toolkit
    Autor*in: Kurtzman, Robert; Zeke, David
    Erschienen: July 19, 2017
    Verlag:  Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, Washington, D.C.

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Fernleihe:
    keine Fernleihe
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    Volltext (kostenfrei)
    Volltext (kostenfrei)
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    Schriftenreihe: Finance and economics discussion series ; 2017, 076
    Schlagworte: QE; LSAPs; Misallocation
    Umfang: 1 Online-Ressource (circa 44 Seiten), Illustrationen
  9. Accounting for productivity dispersion over the business cycle
    Autor*in: Kurtzman, Robert; Zeke, David
    Erschienen: May 20, 2016
    Verlag:  Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, Washington, D.C.

    This paper presents accounting decompositions of changes in aggregate labor and capital productivity. Our simplest decomposition breaks changes in an aggregate productivity ratio into two components: A mean component, which captures common changes to... mehr

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Fernleihe:
    keine Fernleihe

     

    This paper presents accounting decompositions of changes in aggregate labor and capital productivity. Our simplest decomposition breaks changes in an aggregate productivity ratio into two components: A mean component, which captures common changes to firm factor productivity ratios, and a dispersion component, which captures changes in the variance and higher order moments of their distribution. In standard models with heterogeneous firms and frictions to firm input decisions, the dispersion component is a function of changes in the second and higher moments of the log of marginal revenue factor productivities and reflects changes in the extent of distortions to firm factor input allocations across firms. We apply our decomposition to public firm data from the United States and Japan. We find that the mean component is responsible for most of the variation in aggregate productivity over the business cycle, while the dispersion component plays a modest role

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Finance and economics discussion series ; 2016-045
    Umfang: 1 Online-Ressource (circa 62 Seiten), Illustrationen