Appendix for Financial Frictions and Fluctuations in Volatility

RePEc Short ID: pke4
ORCID iD: 0000-0001-5738-1236

Arellano, Cristina; Bai, Yan; Kehoe, Patrick J.

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Appendix for Financial Frictions and Fluctuations in Volatility

Abstract: This appendix contains five sections. Section 1 provides details for the comparative statics exercise performed in the simple example. Section 2 discusses extending the model to allow firms to default on the wages for managers. Section 3 describes the firm-level and aggregate data. Section 4 contains the details of the computational algorithm. Finally, Section 5 reports the results for our model with a lower labor elasticity.

Keywords: Uncertainty shocks; Firm heterogeneity; Labor wedge; Credit constraints; Great Recession; Credit crunch;

JEL Classification: D53; E24; E32; D52; E44; E23;