We develop a computable general equilibrium model of firm capital structure that predicts countercyclical financing costs and procyclical financing. We extend the standard financial accelerator model by incorporating countercyclical uncertainty shocks and equity financing frictions capturing the moral hazard problem of profit diversion. In this environment, increased uncertainty restricts equity financing, resulting in a lower level of total equity, which in turn influences the debt contract. As a result of less equity utilization in the face of increased uncertainty, the default rate and debt financing costs increase, although firms reduce their investments. The amplified effect of uncertainty shocks on debt financing costs through the equity financing channel enables the model to predict countercyclical external financing costs. Existing financial accelerator models, on the other hand, cannot generate countercyclical financing costs without uncertainty amplification via equity financing, as TFP shocks, another source of business cycle, cause firms to reduce the size of business projects and, in turn, credit demand.

中文翻译：

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不确定性冲击、股权融资和经济周期放大

我们开发了一个可计算的公司资本结构一般均衡模型，可以预测反周期融资成本和顺周期融资。我们通过纳入反周期不确定性冲击和股权融资摩擦来扩展标准金融加速器模型，捕捉利润转移的道德风险问题。在这种环境下，不确定性的增加限制了股权融资，导致总股本水平较低，进而影响债务合同。由于不确定性增加而减少股权利用率，尽管企业减少了投资，但违约率和债务融资成本却增加了。不确定性冲击通过股权融资渠道对债务融资成本的放大效应使模型能够预测逆周期外部融资成本。另一方面，现有的金融加速器模型无法在不通过股权融资放大不确定性的情况下产生反周期融资成本，因为TFP冲击（商业周期的另一个来源）会导致企业缩小业务项目规模，进而缩小信贷需求。