Strategic effects of liquidity injections, lender-of-last-resort facilities and monetary policy responses to asset prices.

危机期间和之后的货币政策，以及最后贷款人的安排，引发了人们对金融中介机构道德风险的担忧。第一好的货币政策在时间上的不一致提出了一个问题，第二好的政策如何实施。经济主体之间的相互作用要求对宏观经济变量和金融市场之间的关系进行博弈论分析。在这个项目的第一阶段，我们集中讨论了三个主题：政府对银行部门的担保与主权债务违约之间的相互依存关系，货币政策的时间不一致性，以及动态随机一般均衡模型中内生流动性的宏观经济效应。在这个项目的下一个阶段，我们将注意力转移到货币政策的行为基础上。1.在我们为银行业提供的最后贷款人安排和担保计划的工作基础上，我们计划通过实验室试验来分析银行挤兑问题。我们最感兴趣的是找到应对流动性冲击的最佳应对方案，以避免银行挤兑，以及预先宣布的应对方案以及流动性和股权监管规则的组合，以将发生银行危机的可能性降至最低。2.在动态随机一般均衡模型的框架内，我们计划分析损失厌恶对定价过程的影响及其对金融危机后货币政策实施的影响。该项目的总体目标是分析在不同的宏观审慎监管制度下提供流动性和货币政策的战略影响。因此，我们希望为设计货币政策和宏观审慎监管的新架构做出贡献，旨在平衡稳定通胀、产出和金融市场。

Monetary policy during and after crises and lender-of-last-resort facilities raise concerns of moral hazard on the side of financial intermediaries. Time inconsistency of first-best monetary policy raises the question, how second best policies can be implemented. The interaction of economic agents calls for a game-theoretic analysis of the relationship between macroeconomic variables and financial markets. During the first phase of this program, we concentrated on three topics: the interdependency between government guarantees for the banking sector and sovereign defaults, time inconsistency of monetary policy, and macroeconomic effects of endogenous liquidity within dynamic stochastic general equilibrium (DSGE) models.During the next phase of this project, we shift our attention to behavioural foundations of monetary policy. 1. Building up on our work on lender-of-last-resort facilities and guarantee schemes provided to the banking sector, we plan to analyse bank runs by laboratory experiments. We are most interested in finding optimal response schemes to liquidity shocks that stave off bank runs and in combinations of pre-announced response schemes and rules of liquidity and equity regulation that minimize the probability of banking crises. 2. Within the framework of dynamic stochastic general equilibrium (DSGE) models, we plan to analyse the effects of loss aversion on the pricing process and its consequences for conducting monetary policy in the aftermath of financial crises. The overarching goal of this project is to analyse the strategic effects of liquidity provision and monetary policy under distinct regimes of macroprudential regulation. Thereby, we want to contribute to the design of a new architecture for monetary policy and macroprudential regulation aimed at a balanced stabilization of inflation, output and financial markets.