تنظیم های اقتصاد کلان تحت شرایط تامین مالی سست در بخش ساخت و ساز

We provide a model with sector-specific debt-collateral constraints to analyze how asymmetric financing conditions across sectors affect the aggregate investment, credit and output composition. In our model, investments in the construction sector allow for higher leverage than investments in the non-durable consumption goods sector. When borrowing constraints bind in both sectors, unit returns in the construction sector are lower due to a positive pledgeability premium, and changes in interest rates have a non-monotonic effect in the sectoral composition of investment. Specifically, a fall in interest rates triggers a relative rise in investment in the consumption goods sector when rates are relatively high, whereas the opposite effect obtains when rates are sufficiently low. We argue that this prediction of the model, which depends critically on the asymmetries of financing conditions across sectors, is consistent with the evidence for a number of OECD countries during the decade before the 2007/2008 crisis

In the absence of financial market imperfections, the funding available should be allocated across different investment projects so that their marginal financing costs equal their marginal revenue. This allocation principle, however, need not hold in the presence of financial friction. This is the case, for instance, when some investors can not obtain as much financing as they would wish at the going rate. Under such circumstances, there may persist a positive gap between an investment project's marginal revenue and its marginal financing cost. As this happens, profit maximizing investors will optimally weight the return from each unit invested in a project against the financially constrained size of the project, in which case nothing precludes that a sizeable volume of funds will be channeled to investment projects in sectors with low unit returns if such sectors enjoy relatively loose financing conditions that allow for large projects. Based on the previous reflection, the objective of this paper is to explore the macroeconomic effects of asymmetries in the severity of collateral constraints across productive sectors. The underlying idea behind the assumption about sector-specific financing conditions is that the ability of a lender to liquidate and recover a loan in case of default is a key determinant of a loan's conditions, as argued by Shleifer and Vishny (1992). In particular, borrowers generally obtain better financing conditions the higher is the resale value of the assets that they provide as collateral. Therefore, it is natural to face better external financing conditions when a firm invests in tangible assets, like real estate, than in projects that may lose a substantial fraction of their value if the original investor is forced to liquidate them.1 Taking this reasoning at the sector-level, one could then argue that the construction sector would tend to face better financial conditions than the other main sectors in the economy given that, in relative terms, the construction sector consists on the exploitation of abundant tangible assets and standard production technologies. To the extent that a firm's financing structure is shaped by its conditions of access to external funding, data on the financing mix between internal and external funds should be informative of the underlying financial conditions faced by firms operating in different sectors. Along these lines, Fig. 1 shows the leverage ratio (defined as debt over total assets) for firms in the construction and manufacturing sectors in the main European economies over the period 1995–2006. Although both supply and demand factors are likely to influence the leverage ratios shown in this figure, the fact that construction firms have been substantially more leveraged than manufacturing firms in all countries and for the whole sample period may be seen as indicative of a comparative advantage in the access to debt. More formally, several recent empirical studies have found support for the idea that firms that hold larger real estate portfolios face better financing conditions. For instance, Chaney et al. (2012) estimate an elasticity of corporate investment with respect to the value of corporate real estate of 6 per cent for the typical U.S. firm over the period 1993–2007. They also find evidence that this link between collateral and investment operates through the positive effect of a rise in collateral on debt capacity. Similar effects have been recently found by Liu et al. (2011), in the U.S. and by Gan (2007) in Japan over the 1990s. Of special interest for the arguments developed in this paper is the empirical analysis of Campello and Giambona (2012), who examine the relation between asset composition and capital structure by considering the effect of the degree of resaleability of tangible assets on leverage. Exploiting data drawn from firms operating in the U.S., they show that the presence of resaleable tangible assets in the balance-sheet is an important driver of leverage. Interestingly, across the several types of tangible assets, they find that land and buildings – which amount for the larger part of the assets of construction firms – have the highest explanatory power for leverage.In line with the previous evidence, we develop a model in which the construction sector – which produces a durable non-tradeable good, housing – faces looser collateral requirements vis-a-vis the sector of non-durable tradeable goods (consumption goods), and analyze how this financial asymmetry shapes the sectoral allocation of credit, investment and output in response to a persistent fall in the real interest rate, as observed in most developed economies over the years that preceded the bust of the crisis in 2007. In this model, investors decide in which sector to invest. In so doing, they face two types of restrictions: (i) collateral constraints, which link the maximum amount of external financing available for a project to a fraction of the discounted resale value of its future output and (ii) minimum-scale restrictions, such that only projects of a minimum size can be executed. Along the lines of the reasoning above, we assume that investors in the construction sector can afford, ceteris paribus, a more leveraged financing structure. A direct consequence of the financial asymmetry across sectors is that a pledgeability premium, in the form of a lower unit return in housing, arises in equilibrium. Indeed, as collateral constraints bind, optimizing investors face a trade-off between lower unit returns but larger projects in the housing sector and larger unit rents but smaller projects in the consumption sector. The particular shape of the previous trade-off is strongly affected by the level of the interest rate. When interest rates are relatively high, leverage is low in both sectors and differences in the size of the largest project in each sector are small. Therefore, in this scenario, differences in total returns between both sectors are mainly driven by differences in unit returns (which are higher in the consumption goods sector due to the pledgeability premium). Then, investors who can overcome the minimum-scale restriction optimally decide to invest in the consumption goods sector. On the other hand, when interest rates are low, leverage is high in both sectors and, critically, differences in the sizes of the projects (and in leverage) become larger across sectors. Such differences in project sizes turn out to be crucial for the investors' decisions. Specifically, some investors for whom the minimum-scale restriction is not binding prefer to invest in the construction sector where they obtain higher total returns by running larger projects although with low unit returns. Thus, in the aggregate, the effect of interest rates on the investors, investment and credit equilibrium allocations is non-monotonic. Starting with a relatively high interest rate, a fall in it, by raising the amount of collateral in hands of every investor, allows more investors to overcome the minimum-scale constraint and invest in the consumption goods sector, where unit returns are higher. Yet, for a sufficiently low interest rate, a further decline encourages some investors who could invest in the consumption goods sector to operate in the construction sector. In so doing, these investors give up some extra unit returns in the former sector in exchange for higher leverage and larger projects in the latter one. An additional prediction of the model is that the size of these interest rate regions depends on the intensity of the demand for housing. In particular, for a given interest rate, an economy is more (less) likely to be in the region where declines in the cost of external financing reallocate entrepreneurs towards the housing sector, the higher (lower) is the aggregate housing demand. Taken together, the aforementioned implications of the model may help us understand the links between some of the most salient features of the macrofinancial environment that prevailed in some OECD countries that faced a housing boom before the subprime crisis, including the links between the rise in the global flow of savings and the subsequent fall in interest rates, the emergence of housing bubbles, and the strength of the construction sector in some of these countries, and the relative scarcity of assets perceived as safe. All these issues have been analyzed in some previous papers, but, as far as we know, the present paper is the first attempt to connect them in the context of an equilibrium model that makes financial friction in the construction sector its centerpiece.2 In particular, our model would be consistent with the idea that the perception of the real estate sector as a relatively safe sector, due to the tangibility and resaleability of its output, could have played a disproportionate role in shaping the investment mix in a context of abundant and inexpensive funding, biasing it towards that sector. According to the mechanisms implicit in the model, very low interest rates that fuel the demand for housing would have also tended to amplify the relative advantage of the real estate sector vis-a-vis other sectors to produce collateral, at a time at which high levels of indebtness make many investors borrowing-constrained and, hence, eager to pay an increasing price for that collateral. But, by devoting an increasing volume of funds to produce the most collateralizable good (houses), the economy also reduces the resources directed towards investment projects with higher unit value. Empirics. In the decade prior to the 2007/2008 financial crisis, the sectoral allocation of investment showed quite distinct patterns across the main OECD economies, even though they all witnessed a similar substantial decline in real interest rates. While the share of investment allocated to the construction sector rose steadily in the U.S., the U.K., and Ireland over the 1995–2006 period, it fell almost uniformly in Germany and Japan, and exhibited a clear hump-shaped relationship for countries like Canada, France, Italy, the Netherlands, and Spain (see Fig. 2).We argue that our model can help in understanding these diverging patterns. On the one hand, the hump-shaped pattern of sectoral investment ratios observed for the latter group of economies could be explained by our model as driven by the non-monotonic response of entrepreneurs' sectoral allocation to falling interest rates. Individual country regressions and panel regressions support this idea. Interestingly, our model can not generate these non-monotonic relationships if financial conditions are symmetric across sectors. On the other hand, controlling for the strong performance of the housing market in the U.S., the U.K., and Ireland, and the sluggishness in this market in Japan and Germany over the period of analysis, we may also rationalize in terms of our model the monotonic (and opposite) behavior of the investment mix in these two sets of economies upon the basis of interest rate changes within a single interest rate region. Related literature. Our paper aims at contributing to the branch of the literature that incorporates financial friction into macroeconomic models to study their effects on investment.3 One of the earliest and most influential contributions in this field is the financial accelerator theory developed by Bernanke and Gertler (1989), who show that a positive spread in the cost of external funding is a natural outcome in an environment with asymmetric information and conflicts of interest between borrowers and lenders. The financial friction emphasized in our paper, however, is inspired by the endogenous collateral constraint explored by Kiyotaki and Moore (1997). As in their model, we assume that only secured debt is available and only up to a fraction of the discounted resale value of the assets pledged by the borrowers. Matsuyama (2007a) provides a general framework for studying the macroeconomic implications of investment project-specific financing conditions, showing that small departures from the baseline one sector model may give rise to a variety of nonlinear and non-monotonic dynamic phenomena like endogenous credit cycles, episodes of boom–bust, development traps, and reversed international flows. In a specific case analyzed within this general framework, Matsuyama (2007b) focuses on the supply-side dynamics of an economy in which producers facing collateral constraints must choose among projects with different degrees of pledgeability. However, he considers an economy in which all projects deliver the same output and hence his model does not have any implications about the sectoral reallocation of investment induced by shocks in the presence of asymmetric financial conditions, which is one of the central objectives of our paper. Antràs and Caballero (2009) also consider asymmetric financial conditions, across sectors and across countries, in a general equilibrium model featuring collateral constraints and analyze how they affect trade and capital flows between developed and emerging economies. In a similar vein, Manova (2008) studies the role of heterogeneous financing conditions across productive sectors in the pattern of specialization in international trade. Aghion et al. (2010) investigate how differences in the maturity and liquidity of investments may affect both the short-run dynamics and the long-run economic growth in an environment in which firms face borrowing constraints. Some of the modeling choices and questions treated in our paper are closely connected with the strand of the literature focused on occupational choice and investment decisions in the presence of financial friction. Cagetti and De Nardi (2006) provide a model of endogenous entrepreneurial entry and exit in which flows from the pool of workers towards entrepreneurship depend on individual wealth, as this determines the amount of external funding available. They use a calibrated version of such a model to account for some stylized facts regarding the wealth distribution for entrepreneurs and workers, firm size and aggregate capital in the U.S. economy. Buera (2009) also analyzes how borrowing constraints may affect the relation between individual wealth and occupational choice in the context of a model calibrated with U.S. data. As in our model, Buera et al. (2011) develop a two sector model with financial friction in which the interplay between non-convexities in the investment function and borrowing constraints gives rise to an endogenous segmentation of investors across sectors. They use this framework to analyze the power of financing constraints to account for cross-country and sector-level differences in output per worker. Our paper shares with these papers a focus on the aggregate effects of asymmetric financing conditions across sectors and/or investment projects. We differ from them in the motivating question, as we are mostly interested in the macroeconomic impact that a persistent fall in the interest rate has on investment, credit and output composition, especially with regard to the real estate sector, and on the potential for non-monotonic responses in these variables, such as those witnessed in the years before the housing bubble bust that preceded the Great Recession in a number of OECD countries. Finally, this paper is related to a number of recent articles analysing how a decline in the interest rate attracts more investment in the construction sector through the relaxation of credit-constrained housing buyers (see e.g. Kiyotaki et al., 2011 and Iacoviello and Neri, 2010). Yet, in contrast to this literature, our focus is on the effects of borrowing constraints on the housing supply side and, more generally, on the aggregate output composition. The rest of this paper is organized as follows. Section 2 presents the model. Section 3 describes how entrepreneurs optimally decide which sector to invest in. Section 4 analyzes how changes in interest rates shape the output, investment and credit composition in this economy. Section 5 contains the results of our empirical analysis. Section 6 presents some conclusions.

How aggregate investment is allocated across different productive sectors is a key determinant of economic fluctuations and long run growth. This paper analyzes how investment is allocated when investors in the construction sector may pledge a higher fraction of their projects as collateral than investors in the non-durable consumption goods sector. In our setting, when collateral constraints bind in both sectors, unit returns in the construction sector are lower due to a positive pledgeability premium. This goes hand in hand with a form of oversupply in that sector that is due to the relatively higher leverage allowed in construction investment projects. From the point of view of investors, such a pledgeability premium gives rise to a trade-off between lower unit returns but larger projects in the construction sector, and larger unit rents but smaller projects in the consumption sector. Which of these forces dominates depends on the interest rate. Specifically, a fall in interest rates triggers a relative rise in investment in the consumption goods sector when rates are relatively high, whereas the opposite effect obtains when rates are sufficiently low. That is, when interest rates are already low, a further reduction triggers a shift of investors towards the construction sector in search for large projects (with high leverage) even at the expense of lower unit profitability. In the end, the aggregate effect of interest rates on investors' decisions and on investment and credit equilibrium allocations is non-monotonic. We further find that the previous effects of the interest rate on the aggregate investment mix are strongly affected by the level of the demand for housing. In particular, for a given interest rate, an economy is more (less) likely to be in the region where declines in the cost of external financing reallocate entrepreneurs towards the housing sector, the higher (lower) is the aggregate housing demand. Using data from a number of OECD countries for the period 1995–2006, we show that the core predictions of the model – the potential for a non-monotonic response of macro aggregates given a sustained fall in interest rates and the cross-effects between interest rates and housing demand – are consistent with the evidence.