- 6. I construct the Share of short-term debt as the ratio DLCQi,t/(DLCQi,t +DLTTQi,t), following the analogy in Jungherr et al. (2022).
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- 7. To construct a measure of firm Age, I follow Cloyne et al. (2023) and use data from Thomson Reutersâ WorldScope database to infer time since the firmâs incorporation.
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- 8. In constructing the Distance to default measure, I follow the algorithm employed by Gilchrist and ZakrajsÌek (2012), combining the quarterly Compustat data with daily stock price data from CRSP. Whenever the deflating of variables is necessary, e.g., for the measures of gross and net fixed capital used in the perpetual inventory method, I deflate them using the implied price index of gross value added in the U.S. nonfarm business sector (BEA-NIPA Table 1.3.4 Line 3).
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- As for the implied responsiveness of aggregate capital of the sampled Compustat firms, taking the average of the responses depicted in Panel A.8b implies that at the two year (h = 8) horizon, the capital stock drops by about-0.34%. Considering an annual depreciation rate of 10%, this would be consistent with a fall of about 1.7% (â â0.34%/(2 Ã 0.10)) in aggregate investment. Given that the 1 sd monetary shock corresponds to a roughly 25 bp quarterly change in the federal funds rate, as discussed in Footnote 19, this response elasticity is on the higher side, but in line with magnitudes estimated in the literature (e.g., see Cloyne et al. (2023)).
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