主权风险与经济活动：企业进入与退出的作用

中文摘要

我们量化了企业进入与退出在塑造主权债务危机产出成本中的作用。在经验层面，较高的主权风险与较少的企业进入和较多的退出相关。我们发现证据表明，信贷摩擦能够解释小型企业的主权风险—进入关系以及主权风险—退出关系。我们构建了一个包含主权风险、金融摩擦和内生企业动态的模型。以葡萄牙债务危机为校准对象，模型预测主权风险在很大程度上解释了观察到的进入与退出动态。广延边际约占中期产出下降的 35%–64%，并解释了长期持续性产出下降的大部分。

Abstract

We quantify the role of firm entry and exit in shaping the output costs of sovereign debt crises. Empirically, higher sovereign risk correlates with less firm entry and more exits. We find evidence of credit frictions explaining the sovereign risk-entry relationship and the sovereign risk-exit relationship for small firms. We develop a model with sovereign risk, financial frictions, and endogenous firm dynamics. Calibrated to the Portuguese debt crisis, the model predicts that sovereign risk largely explains the observed entry and exit dynamics. The extensive margin accounts for about 35-64% of the medium-run and most of the long-run persistent output fall.