Essays on financial frictions in macroeconomics


Pöschl, Johannes


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URL: https://ub-madoc.bib.uni-mannheim.de/43860
URN: urn:nbn:de:bsz:180-madoc-438600
Document Type: Doctoral dissertation
Year of publication: 2017
Place of publication: Mannheim
University: Universität Mannheim
Evaluator: Adam, Klaus
Date of oral examination: 21 November 2017
Publication language: English
Institution: Außerfakultäre Einrichtungen > Graduate School of Economic and Social Sciences - CDSE (Economics)
Subject: 330 Economics
Subject headings (SWD): Makroökonomie
Keywords (English): 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.

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Pöschl, Johannes (2017) Essays on financial frictions in macroeconomics. Open Access Mannheim [Doctoral dissertation]
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