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1、INTERNATIONA1MONETARYFUNDFinancia1Heterogeneity5Investment9andFirmInteractionsYang1iuWP/23/110IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepub1ishedtoe1icitcommentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(s)anddonotnecessari1yrepresenttheviewsofthe
2、IMF,itsExecutiveBoard,orIMFmanagement.WoRK-NGPAPER2023MAYWP/23/1102023Internationa1MonetaryFundIMFWorkingPaperResearchDepartmentFinancia1Heterogeneity,Investment,andFirmInteractionsPreparedbyYang1iu*AuthorizedfordistributionbyMariaSo1edadMartinezPeriaMay2023IMFWorkingPapersdescriberesearchinprogress
3、bytheauthor(s)andarepub1ishedtoe1icitcommentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseoftheathor(s)anddonotnecessari1yrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement.ABSTRACT:Recent1iteraturehasshownthatcorporateindebtednessaffectsfirm-1eve1investmentbehaviorbutnot
4、necessari1yaggregatebusinesscyc1es.Iarguethatinteractionsamongheterogeneousfirmsp1ayanimportantro1einequi1ibrium.Afteradownturn,financia11yunconstrainedfirmsinfinancia11yconstrainedindustriessignificant1yincreasecapita1ex-pendituretosubstitutedepressedinvestmentbytheirfinancia11yconstrainedcompetito
5、rs.Theincreaseininvestment,primari1ydrivenbysma11andmediumfirms,1eadstosubstantia1gainsinfuturesa1es.Usinganewempirica1approach,Ifurthershowthatequi1ibriumeffectsareunambiguous1ycountercyc1ica1becausetheincreaseininvestmentbyunconstrainedfirmsdoesnotcrowdoutinvestmentbyfinancia11yconstrainedcompetit
6、ors.The“competitiveinteractionchanne1underscoredinthispapermayp1ayanimportantro1einmitigatingtheimpactofnegativeshocksinmacroeconomicmode1swithfinancia1heterogeneity.JE1C1assificationNumbers:E22,E32,G31,G32Keywords:Financia1constraints;investment;equi1ibriumeffects;imperfectcompetitionAuthorsE-Mai1A
7、ddress:y1iu12imf.orgIthankDamienCape1ie,JohnHa1tiwanger1SebnemKa1em1i-Ozcan,DivyaKirti,RuiMano,MariaSo1edadMartinezPeria11arsNorden,Nico1aPierri1DamianoSandri,GermanVi11egasBauer,andseminarparticipantsattheIMFforva1uab1ediscussionsandmments.IMFWORKINGPAPERSFinancia1Heterogeneity,Investment,andFirmIn
8、teractionsWORKINGPAPERSFinancia1Heterogeneity5Investment,andFirmInteractionsPreparedbyYang1iuINTERNATIONA1MONETARYFUND1IntroductionCorporatedebthasattractedincreasingattentionsincethepandemic.Withrecord-highcorporate1everageinboththeUnitedStatesandabroad,themacroeconomicimp1icationsofcorporateindebt
9、ednessarenowatthecenterofbothacademicandpo1icydebates(BrunnermeierandKrishnamurthy,2023).Inth运paperIdocumentnewempirica1factsabouthowproductmarketcompetitorsrespondtooneanother,sfinancia1constraintsoverthecyc1ethroughtheinvestmentchanne1.Whenadownturnhits,financia11yconstrainedfirmshavetoforgoinvest
10、mentopportunitiesbecauseoftighteningfinancia1constraints,asituationthat,ceterisparibus,encouragesfinancia11yunconstrainedcompetitorstosignificant1yincreaseinvestmentre1ativetofinancia11yunconstrainedfirmswithnofinancia11yconstrainedcompetitors.Moreimportant1y,Idemonstratethatequi1ibriumeffectsofsuch
11、firminteractionsareunambiguous1ycountercyc1ica1becausetheincreaseininvestmentdoesnotfurtherreduceinvestmentbyconstrainedcompetitors.Myempirica1ana1ysisfocusesonthetrip1einteractionbetweenafirm,sownfinancia1constraints,itscompetitors,financia1constraints,andshocks.Tomeasureshocks,Iextendthedecomposit
12、ionmethodindiGiovanni,1evchenko,andMejean(2014)toseparateindustryupturnsanddownturnsaswe11asidiosyncraticresidua1s.Thetrip1einteraction,therefore,captureshowinvestmentcorre1ateswithafirm,sownanditscompetitors,financia1constraintsoverthecyc1e.Yetmakingacausa1interpretationofthetrip1einteractionisnots
13、traightforward.Whywou1dfinancia11yunconstrainedfirmsre1ative1yincreaseinvestmentinthepresenceoffinancia11yconstrainedcompetitorsduringdownturns?Oneinterpretationisthatunconstrainedfirmsincreaseinvestmenttosubstitutedepressedinvestmentbyconstrainedcompetitors.IrefertothisinterpretationasthewCompetiti
14、veinteractionchanne1/A1ternative1y,unconstrainedfirmsmayproactive1yincreaseinvestmenttocrowdoutinvestmentbyconstrainedcompetitors.Ica11thisthe“crowding-outchanne,.Thetwochanne1swou1dprovideexact1ythesamecoefficientonthetrip1einteraction.Theprob1emofhowtointerpretthetrip1einteractioniscritica1because
15、thetwochanne1s1eadtodifferentequi1ibriumimp1icationsforaggregateinvestmentandthebusinesscyc1e.Underthecompetitiveinteractionchanne1,firminteractionspartia11yoffsetdepressedinvestmentbyfinancia11yconstrainedfirmsand,therefore,mitigateaggregatef1uctuations.Underthecrowding-outchanne1,ontheotherhand,eq
16、ui1ibriumeffectsareambiguousbecausefinancia11yconstrainedrmsaresimu1taneous1ydeterredfrominvestingwhenunconstrainedfirmsincreaseinvestment.Inas1ight1ydifferentsetting,KhannaandTice(2005)showthatincitieswithbothhigh-and1ow-1everageretai1ers,the1atterstrategica11y1owerpricesduringrecessionstoforcehigh-1everageretai1erstoexit,andhigh-efficiencyretai1erswithhighdebtareparticu1ar1yvu1nerab1e.Competitionp1
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