Aggregate Uncertainty and Sectoral Productivity Growth : The Role of Credit Constraints /

We show that an increase in aggregate uncertainty-measured by stock market volatility-reduces productivity growth more in industries that depend heavily on external finance. This effect is larger during recessions, when financing constraints are more likely to be binding, than during expansions. Our...

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Bibliografiska uppgifter
Huvudupphovsman: Choi, Sangyup
Övriga upphovsmän: Furceri, Davide, Huang, Yi, Loungani, Prakash
Materialtyp: Tidskrift
Språk:English
Publicerad: Washington, D.C. : International Monetary Fund, 2016.
Serie:IMF Working Papers; Working Paper ; No. 2016/174
Länkar:Full text available on IMF
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100 1 |a Choi, Sangyup. 
245 1 0 |a Aggregate Uncertainty and Sectoral Productivity Growth :   |b The Role of Credit Constraints /  |c Sangyup Choi, Davide Furceri, Yi Huang, Prakash Loungani. 
264 1 |a Washington, D.C. :  |b International Monetary Fund,  |c 2016. 
300 |a 1 online resource (43 pages) 
490 1 |a IMF Working Papers 
500 |a <strong>Off-Campus Access:</strong> No User ID or Password Required 
500 |a <strong>On-Campus Access:</strong> No User ID or Password Required 
506 |a Electronic access restricted to authorized BRAC University faculty, staff and students 
520 3 |a We show that an increase in aggregate uncertainty-measured by stock market volatility-reduces productivity growth more in industries that depend heavily on external finance. This effect is larger during recessions, when financing constraints are more likely to be binding, than during expansions. Our statistical method-a difference-in-difference approach using productivity growth for 25 industries for 18 advanced economies over the period 1985-2010-mitigates concerns with omitted variable bias and reverse causality. The results are robust to the inclusion of other sources of interaction effects, such as financial development (Rajan and Zingales, 1998) and counter-cyclical fiscal policy (Aghion and others, 2014). The results also hold if economic policy uncertainty (Baker and others, 2015) is used instead of stock market volatility as the measure of aggregate uncertainty. 
538 |a Mode of access: Internet 
700 1 |a Furceri, Davide. 
700 1 |a Huang, Yi. 
700 1 |a Loungani, Prakash. 
830 0 |a IMF Working Papers; Working Paper ;  |v No. 2016/174 
856 4 0 |z Full text available on IMF  |u http://elibrary.imf.org/view/journals/001/2016/174/001.2016.issue-174-en.xml  |z IMF e-Library