기업의 자금조달 구조를 고려한 DSGE모형에서 금융충격이 경기변동에 미치는 효과분석

This paper investigates the effect of financial shocks to the economy with incomplete financial markets due to limited enforcement. I set up a DSGE model where the firm can finance its operations with both debt and equity, but there are rigidities affecting the substitution between debt and equity. In regard to the financing structure of the firms, from the data I find that debt financing is procyclical while equity financing is countercyclical. This finding reflects the fact that during recessions debt financing is hard, but dividends payment contracts and equity issuance increases. From simulations of the model economy, these cyclical characteristics of financing structure are replicated as well. Due to enforcement constraint arisen from firm’s default possibility, financial shocks work as a key element to propagate the business cycle of the economy. The model economy only with technological shocks cannot generate the cyclical property of the financing structure. However, with both financial and technological shocks, the model can generate the cyclical properties of financing structure found in the data.