A New Paradigm for Understanding and Controlling Systemic Risks in Financial Markets

最近的金融危机始于银行业危机。与此类危机的典型情况一样，由此导致的金融市场信贷收缩蔓延至实体经济。这场危机的影响是毁灭性的：失业率飙升，许多人都在努力维持生计。尽管目前的危机很严重，但此类危机发生得相当频繁，而且有一个共同的主题：风险过度积累推动了资产价格的上涨。不幸的是，目前的监管政策不足以防止或减轻风险的累积。本研究的目的是应用系统理论中经过验证的强大工具来开发金融市场的准确模型，并将这些模型应用于控制定律和博弈论机制的开发，这些模型可以被监管机构用来设计实际的监管政策，正确平衡风险积累和增长。知识价值：金融市场的兴衰风险在很大程度上取决于金融中介机构的作用，这些中介机构通过短期借贷为长期投资融资。造成这种系统性风险的主要因素是：借贷与投资期限的不匹配，在长期资产高企的情况下保持高杠杆的中介机构的投资策略，以及美联储？美国调整短期借款利率的策略。所提出的市场动态模型将在控制和博弈论框架中解决这些风险来源，以便1)为最近的信贷危机提供严格的解释，捕捉市场中所有参与者之间的反馈相互作用，2)提出稳健和动态的市场机制，以减轻中介机构引起的风险。3)为美联储提出简单直观的策略，这些策略可以转化为可执行的市场监管政策。更广泛的影响：该项目的广泛影响可以概括如下：研究：关于系统性风险的研究文献仍处于起步阶段，即使在经济学专业中，大多数焦点都集中在银行业和货币政策上。只是在最近的金融危机之后，宏观经济学家才开始关注金融行业的其他部分，如衍生品、抵押贷款支持证券、房地产和对冲基金。即便如此，大多数宏观经济思维仍然是由平稳的线性理性预期均衡模型主导的，而不是由反馈回路、系统识别、非线性动力学和鲁棒控制方法主导的。用系统工程方法对全球经济进行建模，有可能改变经济学家对系统性风险的看法。教育：该项目还希望通过让工科学生面对当前经济状况带来的挑战，对教育领域产生广泛的影响。控制理论和系统理论在经济系统中的成功应用将为大师创造许多机会。工程学硕士和博士学位论文。从这项研究中开发的方法将被纳入麻省理工学院的课程，然后通过麻省理工学院？开放课程软件。拟议的工具将与经济学家和各种金融机构使用的工具整合在一起。政策：监管机构和政策制定者目前正在重新调整经济和金融系统的法律、会计和监管基础设施，系统工程方法对于这些审议是不可或缺的。在过去的三十年里，控制理论对国家航空航天和国防政策产生了不可磨灭的影响，同样的，在制定经济和金融政策方面也可以实现类似的影响。

The recent financial crisis started as a banking crisis. As is typical with such crises, the resulting contraction of credit in the financial markets spread to the real economy. The effects of the crisis have been devastating: unemployment has skyrocketed and many people are struggling to make ends meet. Although the current crisis has been severe, such crises occur quite frequently and have a common theme: rising asset prices fueled by an excessive accumulation of risk. Unfortunately, current regulatory policy is not sufficient to prevent or mitigate risk buildup. The objective of this research is to apply proven, robust tools from systems theory to develop accurate models of the financial market and to apply such models to the development of control laws and game-theoretic mechanisms that can be used by regulators to design practical regulatory policies that correctly balance risk accumulation and growth. Intellectual Merit: Boom-Bust risks in the financial market are heavily dependent on the role of the financial intermediaries that undertake short-term borrowing in order to finance long-term investments. The main factors contributing to such systemic risks are: the mismatch in the duration between borrowing and investing, the investment strategies of such intermediary institution that maintain a high leverage when long term assets are high, and the Federal Reserve?s strategies in adjusting short-term borrowing rates. The proposed dynamic model of the market will address these sources of risks in a control and game-theoretic framework in order to 1) provide a rigorous explanation of the recent credit crises that capture the feedback interaction between all the players in the market, 2) propose robust and dynamic market mechanisms that mitigate the risk induced by the intermediary institutions, and 3) propose simple and intuitive strategies for the Fed that can translate into implementable regulatory policy for the market.Broader Impact: The broad impact of this project can be summarized as follows: Research: The research literature on systemic risk is still in its infancy, even in the economics profession where most of the focus has centered exclusively on the banking sector and monetary policy. Only in the aftermath of the recent financial crisis have macroeconomists begun to pay attention to other parts of the financial industry such as derivatives, mortgage-backed securities, real estate, and hedge funds. Even so, the majority of macroeconomic thinking is still dominated by stationary linear rational expectations equilibrium models, not by feedback loops, system identification, nonlinear dynamics, and robust control methods. A systems engineering approach to modeling the global economy has the potential to change the way economists think about systemic risk. Education: The project also hopes to have broad impact on the educational front by exposing engineering students to challenges posed by current economic conditions. A successful application of control theory and systems theory to economic systems will create many opportunities for master?s and doctoral theses in engineering. The approaches developed from this research will be incorporated in the curriculum at MIT, which will then be made publicly available via MIT?s Open Course Ware. The proposed tools will be integrated with the tools used by economists and various financial institutions. Policy: Regulators and policymakers are currently engaged in re-vamping the legal, accounting, and regulatory infrastructure of the economic and financial system, and a systems engineering approach can be indispensable to these deliberations. In the same way that control theory has had an indelible impact on national aerospace and defense policy over the last three decades, a similar kind of impact can be achieved in crafting economic and financial policy.