Financial Frictions in Mexico: Evidence from the Credit Spread and its Components

Este artículo investiga la relación entre las fricciones en los mercados financieros y la actividad económica en México, para lo cual se construye y descompone un diferencial de tasas para los bonos emitidos por empresas privadas no financieras en el mercado interno, basado en Gilchrist y Zakrajsek (2012). Se muestra que el diferencial contiene información significativa sobre la evolución de la actividad económica y de los agregados crediticios. Además, se encuentra que la prima excedente de los bonos (PEB), cuya dinámica describe la relación entre la probabilidad de impago de las empresas y su diferencial de tasas, es el componente con mayor poder predictivo. Se muestra que choques negativos en las condiciones financieras, identificados como innovaciones en PEB, generan una desaceleración en la actividad económica y en el financiamiento. Finalmente, se encuentra evidencia de efectos no lineales en la respuesta de la actividad económica ante este choque.

A neoclassical perspective on Switzerland’s 1990s stagnation

We study Switzerland’s weak growth during the 1990s through the lens of the business cycle accounting framework of Chari et al. (Econometrica 75(3):781–836, 2007). Our main result is that weak productivity growth cannot account for the 1993–1996 stagnation episode. Rather, the stagnation is explained by factors that made labour and investment expensive. We show that increased labour income taxes and financial frictions are plausible causes. Holding these factors constant, the counterfactual annualized real output growth over the 1993Q1–1996Q4 period is 1.93% compared to realized growth of 0.35%.

Financial Frictions and Macroeconomy During Financial Crises: A Bayesian DSGE Assessment

The recent global financial crisis and the Eurozone sovereign default have rekindled the debate on the interactions between the real sector and the financial sphere. The present paper provides an assessment of the role of financial frictions on business cycles in Canada, the Euro Area, the U.K., and the U.S. during these recent financial crises using an extension of the DSGE methodology described by Merola (2015). The main goal is to examine whether and the extent to which those crises enhanced the contribution of financial frictions in driving macroeconomic fluctuations. The models’ properties are examined with posteriors distributions, variance decomposition, and historical decomposition. Posteriors distributions show that the role of real shocks in driving macroeconomic fluctuations decrease with the incorporation of financial frictions in the core DSGE model. Variance decomposition shows that financial frictions and financial shocks affect the business cycle through investment. The empirical estimates also suggest that the contribution of financial frictions and financial shocks in driving investment increases during the global financial crisis.