Liquidity, the Aggregate Economy and Public Policy

最近的金融危机需要一个主力框架来分析金融体系和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。约翰·摩尔提出的项目计划继续我们的长期研究，以解决以下问题：(1)金融体系的冲击是通过什么机制导致金融危机的？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(例如，抵押品资产价值的下降)发生的，还是主要通过信贷和违约链发生的？(2)即使在稳定的通胀时期，金融不稳定的根源是什么？这是否与合同的不完备性(如债务合同中缺乏指数化)有关，还是与小公司和家庭在资产市场的参与有限有关？什么是使政府干预合理化的外部性？(3)政府应该如何干预？货币和财政政策应该如何以及何时缓解金融危机？政府的这一角色与央行作为最后贷款人的角色有联系吗？在PI的整个调查过程中，与标准框架的关键背离是有限的承诺：代理人不能预先承诺未来偿还，除非债务有有形和无形的抵押品担保。贷款人预见到未来违约的可能性，根据抵押品价值限制信贷--借款人面临借款限制。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)是有限的转售能力。在贷款人向借款人提供贷款后，贷款人是否可以将其贷款出售给新的贷款人，以防她缺乏资金？为了使贷款可转售，借款人必须承诺多边偿还，既向原始贷款人偿还，也向新贷款人偿还。当借款限制足够严格时，PI计划表明，具有多边承诺的工具(广义货币)可以在回报率较低的情况下流通，从而促进实现更好的资源分配。在这样的经济中，对可转售能力的冲击可能会通过转向流动性而导致衰退。PI计划探索政府政策的影响，这些政策改变了私人代理持有的资产组合。

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.