Zakrajšek, Egon; Javno predavanje maj 2013

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Uncertainty, Financial Frictions, and Irreversible Investment (Negotovost, trenja na finančnih trgih in nereverzibilne investicije)

Egon Zakrajšek

Federal Reserve Board, Division of Monetary Affairs, Washington, ZDA

3. junij 2013

Using macro- and micro-level data, we establish three stylized facts:

  1. fluctuations in idiosyncratic uncertainty can have a large effect on aggregate investment;
  2. the impact of uncertainty on investment occurs largely through changes in credit spreads;
  3. financial shocks—identified vis-à-vis orthogonal innovations to credit spreads—have a strong effect on investment, irrespective of the level of uncertainty.

These findings raise a question regarding the economic significance of the traditional “wait-and-see” effect of uncertainty shocks and point to financial distortions as the main mechanism through which fluctuations in uncertainty affect macroeconomic outcomes. We explore the two mechanisms within a quantitative general equilibrium model, featuring heterogeneous firms that face time-varying idiosyncratic uncertainty, nonconvex capital adjustment costs, and financial market frictions. We show that our model successfully replicates the stylized facts concerning the macroeconomic implications of uncertainty and financial shocks. By influencing the effective supply of credit, both types of shocks exert a powerful effect on aggregate investment and generate countercyclical credit spreads and procyclical leverage, dynamics consistent with the data and counter to those implied by the technology-driven real business cycle models.

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