Seminar Series

2023 - 2024

Speaker: Andrea Caggese (U Pompeu Fabra).

Title: “Identifying Firm-Level Financial Frictions Using Theory-Informed Restrictions”.

joint with Geert Mesters (UPF Barcelona).

Date: Thursday, November 23th at 12h30 (Paris Time).

Abstract:  We propose a new theory-based method for identifying financially constrained firms that is consistent with a wide class of models with financial imperfections and requires only commonly available balance sheet data. We simultaneously identify firm level productivity, liquidity and financial friction shocks from observed output, debt and production inputs, using only sign and magnitude restrictions obtained from modern dynamic investment models with financial constraints. Based on the identified shocks we construct indicators for identifying financially constrained firms. The approach is proven valid regardless of the type of frictions that the firms face, including both asset based and earning based borrowing constraints. We validate our methodology on simulated data, as well as on Compustat data for manufacturing firms, showing that our measures of financial frictions are consistent with those derived with narrative methods. Finally, we demonstrate its validity with an application based on the 2008- 2009 recession.

Here is, a link to the speaker’s and the FEELab website:

https://andreacaggese.weebly.com/research.html

https://sites.google.com/view/feelabtbs/

You are cordially invited to participate in the seminar, which will take place in Room 304, BOSCO building

For more information, please contact: Pierre Mella-Barral p.mella-barral@tbs-education.fr