This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Effects of macroeconomic uncertainty on leverage for US non-financial firms

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Andreas Stephan (European University Viadrina, DIW)
Oleksandr Talavera (European University Viadrina, DIW)

Additional information is available for the following registered author(s):

Abstract

In this paper, we investigate the link between optimal level of leverage and macroeconomic uncertainty. Using the model of firm's value maximization, we show that as macroeconomic uncertainty increases, captured by an increase in the variability of industrial production or inflation, firms decrease their optimal levels of borrowing. We test this prediction on a panel of non-financial US firms drawn from the annual COMPUSTAT quarterly database covering the period 1990-2000 and find that as macroeconomic uncertainty increases, firms behave to decrease their levels of leverage. Our results are robust with respect to the inclusion of macroeconomic factors, such as interest rate, inflation, and index of leading indicators.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.stata.com/meeting/2german/Talavera.pdf
File Format: application/pdf
File Function: Presentation slides
Download Restriction: no

Publisher Info
Paper provided by Stata Users Group in its series German Stata Users' Group Meetings 2004 with number 8.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length:
Date of creation:
Date of revision:
Handle: RePEc:boc:dsug04:8

Contact details of provider:
Postal: Administration Building, 140 Commonwealth Avenue, Chestnut Hill MA 02467
Phone: 617-552-3670
Fax: 617-552-2308
Email:
Web page: http://www.stata.com/meeting/2german
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Christopher F Baum).

Related research
Keywords:

This paper has been announced in the following NEP Reports:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Arellano, Manuel & Bond, Stephen, 1991. "Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations," Review of Economic Studies, Blackwell Publishing, vol. 58(2), pages 277-97, April. [Downloadable!] (restricted)
  2. Haramillo, Fidel & Schiantarelli, Fabio & Weiss, Andrew, 1996. "Capital market imperfections before and after financial liberalization: An Euler equation approach to panel data for Ecuadorian firms," Journal of Development Economics, Elsevier, vol. 51(2), pages 367-386, December. [Downloadable!] (restricted)
    Other versions:
  3. Nicholas Bloom & Steve Bond & John Van Reenen, 2001. "The dynamics of investment under uncertainty," IFS Working Papers W01/05, Institute for Fiscal Studies. [Downloadable!]
  4. Bernanke, Ben & Gertler, Mark, 1989. "Agency Costs, Net Worth, and Business Fluctuations," American Economic Review, American Economic Association, vol. 79(1), pages 14-31, March. [Downloadable!] (restricted)
  5. Karen Mills & Steven Morling & Warren Tease, 1995. "The Influence of Financial Factors on Corporate Investment," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 28(2), pages 50-64. [Downloadable!] (restricted)
  6. Christopher F Baum & Mustafa Caglayan & Neslihan Ozkan, 2003. "The Impact of Macroeconomic Uncertainty on Cash Holdings for Non-Financial Firms," Computing in Economics and Finance 2003 69, Society for Computational Economics. [Downloadable!]
    Other versions:
  7. R. Glenn Hubbard, 1998. "Capital-Market Imperfections and Investment," Journal of Economic Literature, American Economic Association, vol. 36(1), pages 193-225, March. [Downloadable!] (restricted)
    Other versions:
  8. Inessa Love, 2003. "Financial Development and Financing Constraints: International Evidence from the Structural Investment Model," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 16(3), pages 765-791, July. [Downloadable!] (restricted)
    Other versions:
  9. Geoffrey Shuetrim & Philip Lowe & Steve Morling, 1993. "The Determinants of Corporate Leverage: A Panel Data Analysis," RBA Research Discussion Papers rdp9313, Reserve Bank of Australia. [Downloadable!]
  10. Davenport, Michael, 1971. "Leverage and the Cost of Capital: Some Tests Using British Data," Economica, London School of Economics and Political Science, vol. 38(150), pages 136-62, May. [Downloadable!] (restricted)
  11. Steven Fazzari & R. Glenn Hubbard & Bruce C. Petersen, 1988. "Financing Constraints and Corporate Investment," NBER Working Papers 2387, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  12. R. Glenn Hubbard & Anil K Kashyap & Toni M. Whited, 1995. "Internal Finance and Firm Investment," NBER Working Papers 4392, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  13. Simon Gilchrist & Charles Himmelberg, 1998. "Investment, Fundamentals and Finance," NBER Working Papers 6652, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  14. Steve Bond & Dietmar Harhoff & John Van Reenen, 1999. "Investment, R&D and financial constraints in Britain and Germany," IFS Working Papers W99/05, Institute for Fiscal Studies. [Downloadable!]
    Other versions:
  15. Joseph P. Byrne & E. Philip Davis, 2005. "Investment and Uncertainty in the G7," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 141(1), pages 1-32, April. [Downloadable!] (restricted)
    Other versions:
Full references

Statistics
Access and download statistics

Did you know? You can create your own reading lists on IDEAS.

This page was last updated on 2009-10-23.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.