Liquidity, the Aggregate Economy and Public Policy

最近的金融危机需要一个工作马框架来分析金融体系与总体经济活动之间的相互作用，并为公共政策提供指导。尽管有大量的文献研究了金融摩擦对总体经济的影响，但许多重要问题仍然悬而未决。与John Moore提议的项目计划继续我们的长期研究，以解决以下问题：(1)对金融体系的冲击通过什么机制导致金融危机？危机是如何跨市场、跨国家蔓延的？传染主要是通过价格（如抵押品价值下跌）发生，还是主要通过信贷链和违约发生？(2)即使在稳定的通货膨胀时期，金融不稳定的根源是什么？这与契约的不完全性（如债务合同中缺乏指数化）有关，还是与小企业和家庭在资产市场中的有限参与有关？使政府干预合理化的外部性是什么？(3)政府应该如何干预？货币和财政政策应该如何以及何时改善金融危机？政府的这一角色是否与央行作为最后贷款人的角色相关联？在PI的整个调查中，与标准框架的关键背离是有限承诺：除非债务有有形和无形的抵押品担保，否则代理人不能预先承诺在未来偿还。预见到未来违约的可能性，贷款人根据抵押品的价值限制信贷——借款人面临借贷约束。有限承诺的另一个相对较少研究的方面（至少在宏观文献中）是有限的再销售性。贷款人向借款人提供贷款后，如果贷款人缺乏资金，是否可以将其贷款出售给新的贷款人？为了使贷款能够再出售，借款人必须承诺以多边方式偿还，既要偿还原贷款方，也要偿还新贷款方。当借款限制足够严格时，PI计划表明，尽管回报率很低，但具有多边承诺的工具（广义货币）可以流通，从而有助于实现更好的资源分配。在这样一个经济体中，对可再出售性的冲击可能会通过向流动性的转移导致经济衰退。PI计划探索改变私人代理人持有的资产组合的政府政策的影响。

Abstract The recent financial crisis calls for a workhorse framework to analyze the interaction between the financial system and aggregate economic activities, and to give guidance for public policy. Although there is an extensive literature examining the implications of financial frictions for the aggregate economy, many important issues remain outstanding. The proposed project with John Moore plans to continue our long-term research in order to address questions such as: (1) Through what mechanism do shocks to the financial system lead to a financial crisis? How does a crisis spread both across markets and across countries? Does contagion occur mainly through prices (e.g. a fall in the value of collateral assets), or mainly through chains of credit and default? (2) What are the sources of financial instability, even during periods of stable inflation? Has it to do with contractual incompleteness (such as lack of indexation in debt contracts), or to do with the limited participation of small firms and households in asset markets? What is the externality that may rationalize government interventions? (3) How should government intervene? How and when should monetary and fiscal policies ameliorate financial crises? Does this role for government connect to the central bank's role as lender of last resort? Throughout the PI's investigation, the key departure from a standard framework is limited commitment: the agent cannot precommit to repay in the future unless the debt is secured by tangible and intangible collateral. Anticipating the possibility of future defaults, the lender limits credit according to the collateral value - the borrower faces a borrowing constraint. Another relatively under-studied aspect of limited commitment (at least in the macro literature) is limited resaleability. After the lender provides a loan to a borrower, can the lender sell her loan to new lenders in case she is short of funds? For the loan to be resaleable, the borrower has to commit to repay multilaterally, to both the original and new lenders. When the borrowing constraint is sufficiently tight, the PI plans to show that instruments with multilateral commitment (broad money) may circulate despite a low rate of return, facilitating to achieve a better resource allocation. In such an economy, shocks to resaleability can lead to a recession through a flight to liquidity. The PI plans to explore the effect of government policies that change the mix of assets held by private agents.