Essays on financial frictions in macroeconomics

Pöschl, Johannes

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URL:	https://madoc.bib.uni-mannheim.de/43860
URN:	urn:nbn:de:bsz:180-madoc-438600
Dokumenttyp:	Dissertation
Erscheinungsjahr:	2017
Ort der Veröffentlichung:	Mannheim
Hochschule:	Universität Mannheim
Gutachter:	Adam, Klaus
Datum der mündl. Prüfung:	21 November 2017
Sprache der Veröffentlichung:	Englisch
Einrichtung:	Fakultät für Rechtswissenschaft und Volkswirtschaftslehre > Geldpolitik und Makroökonomik (Adam 2008-) Außerfakultäre Einrichtungen > GESS - CDSE (VWL)
Fachgebiet:	330 Wirtschaft
Normierte Schlagwörter (SWD):	Makroökonomie
Freie Schlagwörter (Englisch):	Financial Frictions , Macroeconomics , Capital Structure , Bank Runs
Abstract:	This dissertation consists of two chapters. In the first chapter, I study the dynamics of corporate debt maturity over the business cycle, and how the debt maturity structure of a firm matters for its investment decisions. I find that in the data, the corporate debt maturity structure is pro-cyclical, especially for small firms. Moreover, larger firms use more long-term debt in general. I construct a quantitative model to explain these findings. The main results are twofold: First, maturity dynamics can be explained by a trade-off between default incentives, which favor short-term debt, and roll-over costs, which favor long-term debt. Second, long-term debt can lead to substantial under-investment. In the second chapter, I study bank capital regulation in a model with endogenous bank runs. The model economy has both retail and shadow banks. Financial instability arises, because retail banks will occasionally run on shadow banks. The regulator faces a trade-off between reducing financial instability and ensuring that financial intermediation is efficient. I find that a dynamic capital requirement on retail banks is an effective policy instrument to reduce the frequency of bank runs, because it allows retail banks to build up a buffer during normal times that they can use to increase leverage capacity during a bank run. The cost of imposing a capital requirement is however high, if banks cannot issue external equity.