A Risk-Centric Model of Demand Recessions and Speculation*
A Risk-Centric Model of Demand Recessions and Speculation*
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以风险为中心的需求衰退和投机模型*
DOI：
10.1093/qje/qjaa008
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发表时间：
2020
期刊：
影响因子：
--
通讯作者：
Simsek, Alp
中科院分区：
文献类型：
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作者：
Caballero, Ricardo J;Simsek, Alp
我们提供新凯恩斯主义模型的连续时间“以风险为中心”的表示，用于分析当产出由总需求决定时资产价格、金融投机和宏观经济结果之间的相互作用。原则上，利率政策在应对资产估值冲击方面非常有效。然而，货币政策在实践中面临着多方面的制约。如果这些限制很严重，风险资产估值的下降就会导致需求衰退。这会减少收益并在资产价格和总需求之间产生负反馈循环。在经济衰退阶段，平均信念很重要，因为它们不仅影响资产估值，还决定放大机制的强度。在繁荣阶段之前，信念分歧（或异质资产估值）很重要，因为它们会诱导投资者进行投机。当经济转向衰退时，这种投机会减少高估值投资者的财富，从而加剧崩盘，从而压低（财富加权）平均信念。在繁荣时期限制投机的宏观审慎政策可以通过帕累托在衰退时期提高资产价格和总需求来改善福利。
We provide a continuous-time “risk-centric” representation of the New Keynesian model, which we use to analyze the interactions between asset prices, financial speculation, and macroeconomic outcomes when output is determined by aggregate demand. In principle, interest rate policy is highly effective in dealing with shocks to asset valuations. However, in practice monetary policy faces a wide range of constraints. If these constraints are severe, a decline in risky asset valuations generates a demand recession. This reduces earnings and generates a negative feedback loop between asset prices and aggregate demand. In the recession phase, average beliefs matter because they not only affect asset valuations but also determine the strength of the amplification mechanism. In the ex ante boom phase, belief disagreements (or heterogeneous asset valuations) matter because they induce investors to speculate. This speculation exacerbates the crash by reducing high-valuation investors’ wealth when the economy transitions to recession, which depresses (wealth-weighted) average beliefs. Macroprudential policy that restricts speculation in the boom can Pareto improve welfare by increasing asset prices and aggregate demand in the recession.