Financial frictions in the US: asymmetric effects per industry

Figures & data

Table 1. Asymmetries and bankruptcy costs

Dependent variable: Skewness of real lending rates
	Automotive	Banking	Beverage-food-tobacco	Capital equipment	Chemicals-plastics-rubber	Construction-building
Constant	0.674	0.471	1.348**	0.529	0.493	0.386
	[0.15]	[0.23]	[0.03]	[0.19]	[0.21]	[0.38]
Bankruptcy costs	0.058***	0.083***	0.029	0.073***	0.079***	0.092***
	[0.00]	[0.00]	[0.18]	[0.00]	[0.00]	[0.00]
Time for bankruptcy	0.258**	0.316***	0.084	0.295***	0.316***	0.288***
	[0.02]	[0.00]	[0.17]	[0.00]	[0.00]	[0.01]
R^2-adjusted	0.52	0.55	0.27	0.59	0.57	0.61
		Consumer goods-durables	Consumer goods-nondurables	Energy-electricity	Finance-real estate	Forest products-paper
Constant		0.393	1.296**	1.335**	0.228	1.408***
		[0.42]	[0.04]	[0.03]	[0.59]	[0.01]
Bankruptcy costs		0.091***	0.034*	0.025	0.118***	0.021
		[0.00]	[0.10]	[0.16]	[0.00]	[0.22]
Time for bankruptcy		0.275***	0.096*	0.058	0.287***	0.042
		[0.01]	[0.09]	[0.36]	[0.00]	[0.36]
R^2-adjusted		0.56	0.22	0.15	0.52	0.13
	Healthcare-pharmaceuticals	High tech industries	Hotel-gaming-leisure	Media	Metals-mining	Services-business
Constant	1.359**	1.326**	0.616	0.543	0.522	0.493
	[0.02]	[0.02]	[0.18]	[0.22]	[0.26]	[0.31]
Bankruptcy costs	0.032	0.028	0.085***	0.093*** 0.102***	0.123***
	[0.14]	[0.19]	[0.00]	[0.00]	[0.00]	[0.00]
Time for bankruptcy	0.041	0.037	0.268***	0.285*** 0.302***	0.319***
	[0.30]	[0.32]	[0.01]	[0.00]	[0.00]	[0.00]
R^2-adjusted	0.19	0.15	0.53	0.57`	0.63	0.66
	Services-consumer	Sovereign-public finance	Telecommunications	Transportation	Utilities-electric
Constant	0.488	1.326**	1.405***	1.349**	0.783*
	[0.30]	[0.02]	[0.01]	[0.02]	[0.09]
Bankruptcy costs	0.069***	0.026	0.019	0.023	0.072***
	[0.00]	[0.17]	[0.30]	[0.26]	[0.00]
Time for bankruptcy	0.274***	0.082*	0.065	0.069	0.274***
	[0.00]	[0.10]	[0.15]	[0.14]	[0.01]
R^2-adjusted	0.52	0.2	0.13	0.15	0.58
Dependent variable: Skewness of real output per capita
	Automotive	Banking	Beverage-food-tobacco	Capital equipment	Chemicals-plastics-rubber	Construction-building
Constant	−0.051	−0.038	−0.501***	−0.042	−0.038	−0.026
	[0.21]	[0.34]	[0.00]	[0.31]	[0.35]	[0.48]
Bankruptcy costs	−0.082***	−0.096***	−0.033	−0.094***	−0.086***	−0.104***
	[0.00]	[0.00]	[0.17]	[0.00]	[0.00]	[0.00]
Time for bankruptcy	−0.203***	−0.264***	−0.059	−0.289***	−0.294***	−0.301***
	[0.00]	[0.00]	[0.38]	[0.00]	[0.00]	[0.00]
R^2-adjusted	0.49	0.53	0.22	0.63	0.59	0.6
		Consumer goods-durables	Consumer goods-nondurables	Energy-electricity	Finance-real estate	Forest products-paper
Constant		−0.031	−0.603***	−0.575***	−0.029	−0.493***
		[0.47]	[0.00]	[0.00]	[0.54]	[0.00]
Bankruptcy costs		−0.098***	−0.029	−0.023	−0.140***	−0.017
		[0.00]	[0.26]	[0.34]	[0.00]	[0.41]
Time for bankruptcy		−0.291***	−0.133**	−0.047	−0.296***	−0.054
		[0.00]	[0.05]	[0.50]	[0.00]	[0.45]
R^2-adjusted		0.58	0.26	0.17	0.55	0.18
	Healthcare-pharmaceuticals	High tech industries	Hotel-gaming-leisure	Media	Metals-mining	Services-business
Constant	−0.514***	−0.487***	−0.047	−0.052	−0.027	−0.023
	[0.00]	[0.00]	[0.44]	[0.40]	[0.56]	[0.62]
Bankruptcy costs	−0.026	−0.034	−0.097***	−0.104***	−0.126***	−0.132***
	[0.41]	[0.33]	[0.00]	[0.00]	[0.00]	[0.00]
Time for bankruptcy	−0.049	−0.032	−0.281***	−0.294***	−0.318***	−0.334***
	[0.51]	[0.59]	[0.00]	[0.00]	[0.00]	[0.00]
R^2-adjusted	0.23	0.18	0.59	0.61`	0.67	0.69
	Services-consumer	Sovereign-public finance	Telecommunications	Transportation	Utilities-electric
Constant	−0.048	−0.514***	−0.526***	−0.493***	−0.044
	[0.39]	[0.00]	[0.00]	[0.00]	[0.45]
Bankruptcy costs	−0.081***	−0.031	−0.024	−0.029	−0.089***
	[0.00]	[0.35]	[0.43]	[0.34]	[0.00]
Time for bankruptcy	−0.293***	−0.157**	−0.054	−0.065	−0.288***
	[0.00]	[0.05]	[0.57]	[0.54]	[0.00]
R^2-adjusted	0.54	0.23	0.17	0.19	0.63

Note: Figures in brackets denote p-values. ***: ≤0.01; **: ≤0.05; *:≤ 0.10.

Table 2. Real lending rates asymmetries and bankruptcy costs (skewness is measured as a deviation from trend)

	Automotive	Banking	Beverage-food-tobacco	Capital equipment	Chemicals-plastics-rubber	Construction-building
Constant	0.621	0.396	1.274**	0.479	0.426	0.345
	[0.19]	[0.48]	[0.05]	[0.23]	[0.29]	[0.44]
Bankruptcy costs	0.064***	0.089***	0.037	0.082***	0.086***	0.101***
	[0.00]	[0.00]	[0.15]	[0.00]	[0.00]	[0.00]
Time for bankruptcy	0.271***	0.335***	0.089	0.314***	0.325***	0.296***
	[0.01]	[0.00]	[0.16]	[0.00]	[0.00]	[0.00]
R^2-adjusted	0.5	0.53	0.28	0.62	0.55	0.63
		Consumer goods-durables	Consumer goods-nondurables	Energy-electricity	Finance-real estate	Forest products-paper
Constant		0.365	1.233**	1.281**	0.214	1.362**
		[0.46]	[0.05]	[0.04]	[0.62]	[0.03]
Bankruptcy costs		0.103***	0.039*	0.02	0.127***	0.026
		[0.00]	[0.09]	[0.24]	[0.00]	[0.21]
Time for bankruptcy		0.293***	0.105*	0.064	0.296***	0.047
		[0.00]	[0.07]	[0.32]	[0.00]	[0.34]
R^2-adjusted		0.54	0.23	0.17	0.55	0.15
	Healthcare-pharmaceuticals	High tech industries	Hotel-gaming-leisure	Media	Metals-mining	Services-business
Constant	1.304**	1.295**	0.584	0.512	0.489	0.435
	[0.03]	[0.04]	[0.27]	[0.34]	[0.36]	[0.43]
Bankruptcy costs	0.037	0.034	0.099***	0.107***	0.118***	0.131***
	[0.13]	[0.17]	[0.00]	[0.00]	[0.00]	[0.00]
Time for bankruptcy	0.047	0.042	0.289***	0.296***	0.321***	0.338***
	[0.27]	[0.30]	[0.00]	[0.00]	[0.00]	[0.00]
R^2-adjusted	0.21	0.16	0.58	0.60`	0.67	0.71
	Services-consumer	Sovereign-public finance	Telecommunications	Transportation	Utilities-electric
Constant	0.447	1.254**	1.337**	1.296**	0.658
	[0.35]	[0.04]	[0.02]	[0.03]	[0.14]
Bankruptcy costs	0.077***	0.031	0.024	0.031	0.088***
	[0.00]	[0.16]	[0.26]	[0.23]	[0.00]
Time for bankruptcy	0.292***	0.097*	0.054	0.073	0.297***
	[0.00]	[0.08]	[0.19]	[0.13]	[0.00]
R^2-adjusted	0.54	0.23	0.14	0.17	0.61

Note: Similar to those in Table 1.