NSFC“计量建模与经济政策研究”基础科学中心学术交流报告会第十三讲

报告题目

The Asset Durability Premium

主讲人

贾盾，北京大学汇丰商学院助理教授，北京大学博士生导师，马里兰大学经济学博士。研究领域包括宏观经济学、货币经济学、宏观金融和中国经济，当前研究工作关注量化宏观模型的微观基础以及市场结构和不完备信息于货币政策传导和宏观金融领域的相关应用。论文发表于American Economic Review、Review of Finance、Journal of Economic Dynamics and Control、《金融研究》和《世界经济》等国内外期刊，主持一项国家自然科学基金，参与国务院、国家开发银行及中国农业发展银行等机构多项研究课题。

时 间

2024年3月7日（周四），12:30-14:00

地 点

厦门大学经济楼A102

摘 要

Our paper explores how the durability of assets affects firms' financing decisions and equity risk. We show that financially constrained firms holding more durable assets earn about 5% higher returns than those with less durable assets. We develop a general equilibrium model with firm heterogeneity and occasionally binding constraints, which highlights firms' trade-offs between acquiring durable and non durable capital as driven by the tightness of financial constraints, leading to capital price fluctuation. Our results suggest that financial distress triggers firms' balance sheet shifting towards less durable assets, which results in larger procyclicality of durable capital prices and greater risk of holding durable capital. We highlight the critical role of capital substitutability for delivering the large asset durability premium.