Monetary Policy, Credit Supply Shocks, and Investment-Output Dynamics

亚洲、拉丁美洲和东欧目前发生的经济事件强烈表明，银行不断恶化的金融状况可能是造成或延长经济活动严重中断的重要因素。可归因于美国银行业疲软的信贷紧缩被认为是1990-91年经济衰退以及1984-1993年美国各地发生的各种地区性收缩的一个促成因素(如果不是原因的话)。最近的研究表明，在这种明显具有颠覆性的时期，同样的经济力量也可能在商业周期的常规过程中发挥作用。因此，银行和金融市场的摩擦传播了导致严重衰退的巨大冲击，在其他商业周期事件中也可能是重要的促成因素，例如1982年的沃尔克通缩和随后的衰退。尽管银行健康和银行贷款之间存在明显的经验联系，但很少有研究证明经济活动的显著下降可以直接归因于观察到的银行贷款收缩。一个关键问题是身份识别。银行健康状况和贷款的同时下降可能反映了整体经济活动的下降，而不是相反。这种身份识别的缺乏反映出缺乏将借款人与银行联系起来的数据。没有这样的数据，贷款供给和贷款需求是分不开的。评估源自银行的信贷供应中断的整体影响，必须依靠广泛的经济活动指数，而不是最有可能依赖银行的特定借款人的数据。两个独立但相关的项目将进行。第一个项目研究源自银行的信贷供应冲击的经济后果。它使用直接将借款人与其主要银行相匹配的独特数据来源，分析银行贷款供应的大规模中断对依赖银行的公司的投资、库存和就业行为的影响。使用匹配的借款人-银行数据解决了困扰这部文献的许多身份识别问题。通过分析具有共同贷款关系的地理上相距遥远的工厂的反应，研究了贷款供应冲击的部门传导。第二个项目在一般均衡模型中考虑了信贷市场不完善和投资摩擦的宏观经济后果。这项工作的目标是建立一个经验上易于处理的一般均衡模型，该模型结合了货币政策、金融市场和投资决策之间的关键互动。使用了灵活的投资过程规范，提供了对投资动态的真实描述。通过将投资决策滞后、调整成本和金融市场缺陷结合在一起，该模型可以使产出对货币政策的持续驼峰型反应合理化，而不需要依赖不切实际的巨大名义刚性。该模型将使用最小距离技术进行估计。

Current economic events in Asia, Latin America and Eastern Europe strongly suggest the possibility that deteriorating financial conditions at banks are important factors in either causing or prolonging severe disruptions in economic activity. Credit crunches attributable to weakness in the U.S. banking sector have been cited as a contributing if not causal factor in the 1990-91 recession and in the various regional contractions that have occurred throughout the United States over the 1984-1993 period. Recent research suggests that the same economic forces at play in such obviously disruptive episodes also may be at play during the regular course of the business cycle. Thus, frictions in banking and financial markets that propagate large shocks leading to severe recessions may also be important contributing factors in other business cycle episodes, such as the Volcker disinflation and subsequent recession of 1982.Despite the clear empirical links between bank health and bank lending, there are very few studies that document significant declines in economic activity that can be attributed directly to the observed contractions in bank lending. A key problem is identification. Simultaneous declines in bank health and lending may reflect declines in overall economic activity, rather than vice-versa. This lack of identification reflects a paucity of data linking borrowers to banks. Without such data, loan supply cannot be separated from loan demand. Broad indices of economic activity rather than data on specific borrowers that are most likely bank-dependent must be relied upon to assess the overall impact of credit supply disruptions originating at banks.Two separate but related projects will be conducted. The first project studies the economic consequences of credit-supply shocks originating at banks. It uses unique data sources that directly match borrowers to their primary banks to analyze the effect of large disruptions in bank loan supply on the investment, inventory and employment behavior of bank-dependent firms. The use of matched borrower-bank data solves many of the identification problems that have plagued this literature. The sectoral transmission of loan supply shocks is studied by analyzing the response of geographically distant plants that share a common lending relationship.The second project considers the macroeconomic consequences of credit market imperfections and investment frictions in a general equilibrium model. The goal of this exercise is to build an empirically-tractable general-equilibrium model that incorporates key interactions between monetary policy, financial markets and investment decisions. A flexible specification of the investment process that provides a realistic description of investment dynamics is used. By combining investment decision lags, adjustment costs and financial market imperfections, the model can rationalize a persistent hump-shaped response of output to monetary policy without relying on unrealistically large nominal rigidities. The model will be estimated using minimum-distance techniques.