{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,6,6]],"date-time":"2025-06-06T08:40:06Z","timestamp":1749199206444,"version":"3.41.0"},"reference-count":36,"publisher":"Institute for Operations Research and the Management Sciences (INFORMS)","issue":"6","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Management Science"],"published-print":{"date-parts":[[2025,6]]},"abstract":"<jats:p> Cross-sectional dispersion and macro uncertainty (volatility of aggregate economic variables) are conceptually distinct. However, empirically, they both comove and are countercyclical. This paper builds a general equilibrium model and demonstrates that credit market frictions allow cross-sectional dispersion to drive time-varying macro uncertainty endogenously. In the model, as firm-level productivity becomes more dispersed, more firms are pushed to the left tail of the productivity distribution, resulting in more defaults and a depletion in aggregate net worth. This mechanism generates countercyclical leverage and aggregate volatility. The model implies that the government can inject equity in economic downturns to stabilize aggregate volatility. <\/jats:p><jats:p> This paper was accepted by Lukas Schmid, finance. <\/jats:p><jats:p> Supplemental Material: The online appendix and data files are available at https:\/\/doi.org\/10.1287\/mnsc.2022.00166 . <\/jats:p>","DOI":"10.1287\/mnsc.2022.00166","type":"journal-article","created":{"date-parts":[[2024,9,30]],"date-time":"2024-09-30T13:03:21Z","timestamp":1727701401000},"page":"5288-5307","source":"Crossref","is-referenced-by-count":0,"title":["Credit Market Frictions and the Linkage Between Dispersion and Macro Uncertainty"],"prefix":"10.1287","volume":"71","author":[{"ORCID":"https:\/\/orcid.org\/0000-0001-9713-6542","authenticated-orcid":false,"given":"Jun E.","family":"Li","sequence":"first","affiliation":[{"name":"Warwick Business School, University of Warwick, Coventry CV4 7AL, United Kingdom"}]}],"member":"109","reference":[{"key":"B1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2014.2129"},{"key":"B2","doi-asserted-by":"publisher","DOI":"10.1086\/726230"},{"key":"B4","doi-asserted-by":"publisher","DOI":"10.1257\/aer.104.4.1392"},{"key":"B5","doi-asserted-by":"publisher","DOI":"10.1093\/qje\/qjw024"},{"key":"B6","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00670.x"},{"key":"B7","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12110"},{"key":"B8","doi-asserted-by":"publisher","DOI":"10.1257\/0002828042002615"},{"key":"B9","doi-asserted-by":"publisher","DOI":"10.1016\/S1574-0048(99)10034-X"},{"key":"B10","doi-asserted-by":"publisher","DOI":"10.1016\/j.jet.2016.11.005"},{"key":"B11","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA6248"},{"key":"B12","doi-asserted-by":"publisher","DOI":"10.1257\/jep.28.2.153"},{"key":"B13","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA10927"},{"key":"B14","doi-asserted-by":"publisher","DOI":"10.1257\/aer.104.2.379"},{"key":"B15","doi-asserted-by":"publisher","DOI":"10.1257\/mac.20120024"},{"key":"B16","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2010.01613.x"},{"key":"B17","doi-asserted-by":"publisher","DOI":"10.1257\/aer.104.1.27"},{"key":"B18","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhab096"},{"key":"B19","doi-asserted-by":"publisher","DOI":"10.1257\/aer.96.3.523"},{"key":"B20","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmoneco.2014.04.001"},{"key":"B24","doi-asserted-by":"publisher","DOI":"10.1146\/annurev-financial-110921-112053"},{"key":"B27","doi-asserted-by":"publisher","DOI":"10.2307\/1913778"},{"key":"B28","doi-asserted-by":"publisher","DOI":"10.1257\/aer.101.6.2530"},{"key":"B29","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmoneco.2010.10.004"},{"key":"B30","first-page":"547","volume-title":"Handbook of Monetary Economics","volume":"3","author":"Gertler M","year":"2010"},{"key":"B32","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12987"},{"key":"B33","doi-asserted-by":"publisher","DOI":"10.1257\/aer.103.2.732"},{"key":"B34","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2015.09.010"},{"key":"B35","doi-asserted-by":"publisher","DOI":"10.1086\/699189"},{"key":"B36","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-3932(97)00078-0"},{"key":"B37","doi-asserted-by":"publisher","DOI":"10.1257\/aer.20131193"},{"key":"B38","doi-asserted-by":"publisher","DOI":"10.1257\/aer.98.3.604"},{"key":"B39","doi-asserted-by":"publisher","DOI":"10.1086\/262072"},{"key":"B41","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12241"},{"volume-title":"Models of Business Cycles","year":"1987","author":"Lucas RE","key":"B43"},{"key":"B44","doi-asserted-by":"publisher","DOI":"10.1086\/261725"},{"key":"B45","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2019.03.002"}],"container-title":["Management Science"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/pubsonline.informs.org\/doi\/pdf\/10.1287\/mnsc.2022.00166","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,6,6]],"date-time":"2025-06-06T08:07:23Z","timestamp":1749197243000},"score":1,"resource":{"primary":{"URL":"https:\/\/pubsonline.informs.org\/doi\/10.1287\/mnsc.2022.00166"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2025,6]]},"references-count":36,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2025,6]]}},"alternative-id":["10.1287\/mnsc.2022.00166"],"URL":"https:\/\/doi.org\/10.1287\/mnsc.2022.00166","relation":{},"ISSN":["0025-1909","1526-5501"],"issn-type":[{"type":"print","value":"0025-1909"},{"type":"electronic","value":"1526-5501"}],"subject":[],"published":{"date-parts":[[2025,6]]}}}