CEPII-大衰退后欧元区和美国之间的风险冲击和分歧（英文）-2021.3-47页_685kb

Summary of "Risk Shocks and Divergence between the Euro Area and the US in the aftermath of the Great Recession"

Core Content

This paper investigates the divergence between the Euro area and the US economies following the Great Recession of 2008-2009. Despite initial synchronization during the crisis, the two regions have since followed different paths. The study attributes this divergence to financial frictions and credit allocation to non-financial corporations, with a particular emphasis on risk shocks—defined as the volatility of idiosyncratic uncertainty in the financial sector.

Main Viewpoints

• Risk shocks have played a central role in explaining the divergence between the Euro area and the US after the financial crisis.
• US growth was stimulated by a steady reduction in risk shocks, which supported credit and investment expansion.
• Euro area experienced a double-dip recession due to an increase in risk shocks post-2011, which led to higher default risks and reduced corporate credit.
• Risk shocks only started to have a positive effect on the Euro area economy after 2015, coinciding with the implementation of the ECB's Asset Purchase Programme (APP).
• The financial structure differences between the US and the Euro area have influenced the propagation of risk shocks to the real economy, with the Euro area having lower verification costs for borrowers, which may have contributed to its slower recovery.

Key Information

• Risk shocks are modeled as changes in the standard deviation of idiosyncratic shocks to the productivity of private borrowers.
• These shocks affect credit spreads, leverage ratios, and investment levels by increasing the perceived risk of lending.
• Empirical evidence shows that the US recovered faster than the Euro area, with credit spreads and investment rates returning to pre-crisis levels by 2014.
• In the Euro area, credit spreads and net worth remained below pre-crisis levels until 2015, indicating prolonged financial stress.
• The paper uses a DSGE model with financial frictions to estimate the impact of risk shocks on both economies, incorporating nominal rigidities, investment adjustment costs, and asymmetric information in the financial sector.

Estimation and Methodology

• The model is estimated using Bayesian methods and quarterly data from 1987Q1 to 2019Q4 for both the Euro area and the US.
• The data includes eight macroeconomic variables (GDP, consumption, investment, inflation, wage, price of investment, hours worked, and short-term risk-free interest rate) and four financial variables (credit, term structure slope, entrepreneurial net worth, and credit spread).
• Calibration of the model shows that the Euro area and the US differ in real frictions and nominal rigidities:
  • The degree of habit formation is lower in the Euro area.
  • The curvature of investment and utilization cost technologies is higher in the US.
  • Wages are more sticky in the Euro area, while prices are more sticky in the US.
• The term premium and credit spreads are key indicators used to measure the impact of risk shocks on the economies.
• The model also incorporates news shocks, which are anticipated components of risk shocks and influence economic behavior through expectations.

Structural Interpretation

• The paper highlights that risk shocks dominate all other shocks in explaining the post-crisis divergence.
• Financial frictions are a critical transmission channel for uncertainty to business cycles.
• The APP had a more positive impact on the Euro area than the LTROs (Long-Term Refinancing Operations) in reducing the negative effects of risk shocks.
• The US has managed to reduce and reverse the risk problem, while the Euro area has struggled with the long-term consequences of the sovereign debt crisis.

Conclusion

The study provides a structural explanation for the divergence between the Euro area and the US economies after the Great Recession, emphasizing the role of risk shocks and financial frictions. It suggests that unconventional monetary policies such as the ECB's APP have been effective in mitigating the negative impact of risk shocks on the Euro area. The findings are consistent with other DSGE-based assessments of unconventional monetary policy in the Euro area.