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Data and Code for: Long-Term Finance and Investment with Frictional Asset Markets

Version
V0
Resource Type
Dataset : program source code
Creator
  • Kozlowski, Julian (FRB St Louis)
Publication Date
2020-07-08
Free Keywords
debt maturity; liquidity; secondary markets
Description
  • Abstract

    Trading frictions in financial markets affect more long- than short-term bonds generating an upward sloping yield curve. Long-term financing is more expensive in economies with higher trading frictions so firms choose to borrow and invest in shorter horizons and lower productivity projects. The theory guides a new identification of the slope of liquidity spread in the data. We measure and calibrate the model for the US, and counterfactual exercises suggest that variations in trading frictions can have significant effects on maturity choices and investment. A policy intervention improves liquidity, reduce long-term financial costs and promotes investment in longer-term projects.
Temporal Coverage
  • 2000-01-01 / 2018-01-31
    Time Period: Sat Jan 01 00:00:00 EST 2000--Wed Jan 31 00:00:00 EST 2018
Geographic Coverage
  • argentina
  • United States
Availability
Download
Publications
  • Kozlowski, Julian. “Long-Term Finance and Investment with Frictional Asset Markets.” American Economic Journal: Macroeconomics, n.d.

Update Metadata: 2020-07-08 | Issue Number: 1 | Registration Date: 2020-07-08

Kozlowski, Julian (2020): Data and Code for: Long-Term Finance and Investment with Frictional Asset Markets. Version: V0. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/E117169