Empirical Essays in Macroeconomics and Finance

• Main Author: Holmberg, Karolina
• Format: Doctoral Thesis
• Language: English
• Published: Stockholms universitet, Nationalekonomiska institutionen 2012
• Subjects: Inflation; New Keynesian Phillips Curve; Bank Lending Channel; Corporate Investment; Crisis; Lines of Credit
• Online Access: http://urn.kb.se/resolve?urn=urn:nbn:se:su:diva-72259; http://nbn-resolving.de/urn:isbn:978-91-7447-453-4

Derivation and Estimation of a New Keynesian Phillips Curve in a Small Open Economy This paper explores how well Swedish inflation is explained by a New Keynesian Phillips Curve. As the real driving variable in the Phillips Curve, a measure of firms' real marginal cost is compared to the traditional output gap. The results show that, with real marginal cost in the Phillips Curve equation, the point estimates generally have the expected positive sign, which is less frequently the case with the output gap. However, with both real marginal cost and the output gap, it is difficult to pin down a statistically significant relationship with inflation. Firm-Level Evidence of Shifts in the Supply of Credit This paper examines empirically whether firms are subject to shifts in credit supply over the business cycle. Shifts in the supply of credit are identified by exploring how firms substitute between commitment credit -- lines of credit -- and non-commitment credit. The results show that firms on average rely more on commitment credits when monetary policy is tight and when the financial health of banks is weaker. The results are consistent with a bank lending channel of monetary policy and with shifts in the supply of credit following deteriorations in banks' balance sheets. Lines of Credit and Investment: Firm-Level Evidence of Real Effects of the Financial Crisis This paper studies how the 2008 financial crisis affected corporate investment in Sweden through its effect on credit availability. The approach is to compare investments of firms before and after the onset of the crisis as a function of their ex ante sensitivity to a credit supply shock, controlling for fundamental determinants of investments. Sensitivity to a credit supply shock is measured as credit reserves, defined as unused credit on lines of credit. The results indicate that the decline in investment following the crisis was not exacerbated by a contraction in the supply of credit.