Liquidity, the Aggregate Economy and Public Policy

金融危机呼唤一个分析金融体系与总体经济活动之间相互作用的框架，并为公共政策提供指导。虽然有大量文献研究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。与约翰·摩尔共同提出的课题计划继续进行长期研究，以解决以下问题：（1）金融体系的冲击通过什么机制导致金融危机？一场危机如何在市场和国家之间蔓延？传染主要是通过价格（如抵押资产价值下降）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？这与契约的不完整性（如债务契约缺乏独立性）有关，还是与小企业和家庭对资产市场的参与有限有关？什么是可以使政府干预合理化的外部性？(3)政府应该如何干预？货币和财政政策应如何以及何时缓解金融危机？政府的这一角色是否与央行作为最后贷款人的角色有关？ 在PI的整个调查过程中，与标准框架的关键偏离是有限承诺：代理人不能预先承诺在未来偿还债务，除非债务有有形和无形的抵押品担保。预计未来违约的可能性，贷款人根据抵押品的价值限制信贷-借款人面临借款约束。有限承诺的另一个相对研究不足的方面（至少在宏观文献中）是有限的再销售。贷款人向借款人提供贷款后，如果资金短缺，贷款人能否将其贷款出售给新的贷款人？为了使贷款可以重新出售，借款人必须承诺以多边方式偿还贷款，包括向原贷款人和新贷款人偿还。当借贷限制足够严格时，PI计划表明，尽管回报率低，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。在这样的经济体中，对再销售的冲击可能通过向流动性的逃离而导致衰退。PI计划探索政府政策改变私人代理人持有的资产组合的影响。

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.