企业杠杆与繁荣萧条周期（英）

FirmLeverageandBoom-BustCycles CanSever WP/23/126 IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepublishedtoelicitcommentsandtoencouragedebate. TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(s)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement. 2023 JUN ©2023InternationalMonetaryFundWP/23/126 IMFWorkingPaper AfricanDepartment FirmLeverageandBoom-BustCyclesPreparedbyCanSever* AuthorizedfordistributionbyEdwardGemayel June2023 IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepublishedtoelicitcommentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(s)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement. ABSTRACT:Thispaperexploresthedynamicrelationshipbetweenfirmdebtandrealoutcomesusingdatafrom24Europeaneconomiesovertheperiodof2000-2018.Basedonmacrodata,itshowsthatariseincredittofirmsisassociatedwithanincreaseinemploymentgrowthintheshort-term,butemploymentgrowthdeclinesinthemedium-term.Thispatternremainssimilar,evenwhenthechangesincredittohouseholdsareaccountedfor.Next,usingdatafromalargesampleoffirms,itshowsthatfirmleveragebuildupspredictsimilarboom-bustgrowthcyclesinfirmemployment:Firmswithalargerincreaseinleverageexperienceaboostinemploymentgrowthintheshort-term,butemploymentgrowthdecreasesinthemedium-term.Relatedly,thevolatilityofemploymentgrowthincreasesintheaftermathoffirmleveragebuildups.Finally,thispaperprovidessuggestiveevidenceontheroleofafinancialchannelintherelationshipbetweenfirmleveragebuildupsandemploymentgrowth.Theresultsshowthatariseinfirmleverageisassociatedwithapersistentlyhigherdebtserviceratio,pointingthedragonfinances.Consistently,boom-bustgrowthcyclesintheaftermathoffirmleveragebuildupsarenotlimitedtoemploymentgrowth,butarealsopronouncedforinvestment.Moreover,themedium-termdeclineinfirmemploymentgrowthaspredictedbyleveragebuildupsbecomesevenlargerifaggregatefinancialconditionstighten.Thefindingsareinfavorof“leanagainstthewind”approachinpolicymaking. JELClassificationNumbers: E22,E24,E32,E44,G32 Keywords: Firmleverage;firmdebt;householddebt;leveragecycles;employment;investment;boom-bustcycles;ORBIS Author’sE-MailAddress: CanSever:csever@imf.org *TheauthorwouldliketothankHanyAbdel-Latif,AnilAri,BasBakker,AgneseCarella,CeciliaMeloFernandes,MelihFirat,CarloPizzinelli,YannickTimmer,JiaxiongYao,HaroldZavarceandRobertZymekforhelpfulcommentsanddiscussions.TheauthoralsowouldliketothanktheseminarparticipantsattheIMFAfricanDepartmentforusefulfeedback.TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(s)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement.Allerrorsbelongtotheauthor. WORKINGPAPERS FirmLeverageandBoom-BustCycles PreparedbyCanSever1 1TheauthorwouldliketothankHanyAbdel-Latif,AnilAri,BasBakker,AgneseCarella,CeciliaMeloFernandes,MelihFirat,CarloPizzinelli,YannickTimmer,JiaxiongYao,HaroldZavarceandRobertZymekforhelpfulcommentsanddiscussions.TheauthoralsowouldliketothanktheseminarparticipantsattheIMFAfricanDepartmentforusefulfeedback.TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(s)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement.Allerrorsbelongtotheauthor. Contents 1.Introduction5 2.Data10 2.1.Country-levelData10 2.2.Firm-levelData11 3.Methodology12 3.1.AggregateCreditandEmploymentDynamics12 3.2.FirmLeverageBuildupsandEmploymentDynamics13 4.Results15 4.1.StylizedFacts15 4.2.AggregateCreditandEmploymentDynamics18 4.3.FirmLeverageBuildupsandEmploymentDynamics21 4.4.Robustness23 4.5.FirmLeverageBuildupsandtheVolatilityofEmploymentGrowth29 4.6.FirmLeverageBuildupsandFinancialDistress30 4.7.FirmLeverageBuildupsandInvestment31 4.8.TheRoleofAggregateFinancialConditions32 5.ConclusionsandImplications33 References35 Appendix38 1.Introduction Arapidlygrowingempiricalliteratureonleveragecyclesshowsthatexpansionsinaggregatecreditareassociatedwithboom-bustcyclesinmacroeconomicoutcomes.Thisliteraturedocumentsthatcreditbuildupsintheboomphaseareassociatedwithelevatedmacro-financialstabilityrisksandasubsequentdeclineineconomicactivity(e.g.,GourinchasandObstfeld2012,SchularickandTaylor2012,Jordaetal.2013).2Iexplorethedynamicnatureofthisrelationshipfocusingonfirmleverageandusingbothaggregateandfirm-leveldatafromEuropeoverthelasttwodecades.Ishowthatexpansionsinfirmleveragepredictboom-bustgrowthcyclesinrealoutcomes,andfinancialconstraintsseemtoplayaroleinthisrelationship. Thisstudycontributestotheunderstandingoftherelationshipbetweencreditdynamicsandrealoutcomes,particularlyfocusingonfirmindebtedness.Inthisregard,severalstudiesexamineboom-bustcyclesbydistinguishingbetweenhouseholdandfirmdebtdynamics,withmixedresults.Forinstance,basedonaggregatedatafrom30countriesovertheperiodof1960-2012,Mianetal.(2017)findsthattheroleofcreditinboom-bustcyclesinmacroeconomicoutcomesisprimarilydrivenbyaccumulationofhouseholddebt,ratherthanexpansionsinfirmdebt.Theyshowthatintheaftermathofariseinhouseholddebt,GDPgrowthincreasesintheshort-term,but