Collaborative Research: Public and Private Debt Crises: Quantitative Macroeconomic Models and Policy Implications

合作研究：公共和私人债务危机：定量宏观经济模型和政策含义

• 批准号: 1324395
• 负责人: Javier Bianchi
• 金额: $ 15万
• 依托单位: University of Wisconsin-Madison
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 2013
• 资助国家: 美国
• 起止时间: 2013-09-15 至 2015-10-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=1324395&HistoricalAwards=false
• 关键词: Collaborative; Research; Public; Private; Debt

AbstractTitle: Collaborative Research--Public and Private Debt Crises: Quantitative Macroeconomic Models and Policy Implications Principal Investigator: Enrique G. MendozaInstitution: University of PennsylvaniaProposal # SES-1325122AbstractThe financial crisis that exploded in 2008 and triggered the deepest recession since the Great Depression was preceded by an explosion in private sector credit unprecedented in modern U.S. economic history. The Flow of Funds dataset of the Federal Reserve show that the net indebtedness of U.S. households hovered around 1/3rd of GDP from the end of World War II until the mid 1990s. By the end of 2007, however, U.S. household debt more than doubled to about 70 percent of GDP. It is well known that this huge credit expansion fueled a boom in housing prices. The market value of residential land rose from about 48 percent of GDP in the mid 1990s to 75 percent of GDP in 2006 . Moreover, households became highly leveraged, because their debts measured as a ratio of the value of residential land rose from about 2/3rds in the mid 1990s to above 1 just before the crash. Financial intermediaries also became highly leveraged in newly-created complex instruments that were facilitating the expansion of credit.The macroeconomic implications of the collapse of the U.S. credit boom were dramatic both at home and abroad. The world economy suffered a deep recession, a surge in unemployment, and a collapse in global trade. Moreover, governments in most industrial countries embarked in large programs of financial stabilization and fiscal stimulus that worsened their financial positions sharply. In the United States, the net debt of the government experienced its third largest surge (in terms of one-year increments) since the creation of U.S. federal debt in 1790. The net debt-GDP ratio rose from about 36 percent in 2007 to about 68 percent in 2011. This surge in debt ranks below those observed in the two World Wars but is larger than those observed in the Civil War and the Great Depression. Similarly, in Europe, the countries that in the hot zone of the ongoing debt crisis (Greece, Ireland, Italy, Spain and Portugal) experienced surges in public debt of about 30 percentage points of weighted GDP, and even those that are not in a debt crisis saw their public debt surge by about half as much (Germany, France, and the Netherlands).The above statistics paint a dramatic picture of a historic credit boom that went bust with dramatic consequences for both the private sector and the government. In addition, the historical record shows that this pattern is often what we observe in the unwinding of large credit booms. The research funded by this proposal focuses on developing transformative quantitative macroeconomic models that can help us understand the causes of these private and public debt crises as well as their macroeconomic implications, and on using these models to develop strategies of economic policy aimed at preventing and managing these crises.This research program is divided into three projects. Two have to do with private debt crises and the third has to do with public debt crises. The two projects on private debt crises relate to a key policy strategy that many central bankers, including Federal Reserve chairman Ben Bernanke, have put at the forefront of the policy strategy to prevent financial crises: Macro-prudential financial regulation. The goals of this policy are to concentrate on the systemic links that connect intermediaries across the financial system and the financial system with the economy as a whole, and to use policy instruments to "cool off" credit markets in the early stages of credit booms in order to defuse them. The challenges are to be able to characterize a credit boom separately from a regular cyclical expansion of credit or the underlying trends of credit growth driven by financial development, and to construct manageable policy tools that can provide the right incentives to financial markets in order to accomplish the desired goals.The two projects on macro-prudential regulation included in this proposal start from the premise that, because borrowing capacity in modern credit markets is linked to the market values of incomes or assets on which credit contracts are anchored, borrowing decisions are distorted by what is referred to as a pecuniary externality. In particular, individual borrowing decisions made in "good times" fail to internalize how a collapse of asset prices (e.g. housing, mortgage backed securities, etc) will induce a severe credit crunch in the event of a financial crisis in the future. The goals are: First, to evaluate whether models in which this externality is present can actually explain key features of actual financial crises. Second, to analyze the effectiveness of macroprudential policies, broadly defined as policies seeking to alter decisions in credit markets in normal times so as to make financial crises less frequent and less severe. These policies include, for example taxes on debt, capital requirements, and limits on loan-to-value or leverage ratios. The aim is to study these issues in two classes of models. One class is the "representative agent" setup, in which the characteristics of particular borrowers are not considered, but the mechanism driving the macro-financial meltdown and the use of policy tools to counter the pecuniary externality in prudential fashion are both fleshed out clearly. The second class includes models in which we take into account the heterogeneity of borrowers, in particular their individual features in terms of debt exposure and employment status.The project on public debt crises undertakes a major revamping of macroeconomic analysis of sovereign debt crises. The majority of the existing models about this issue deal with the possibility of default by a sovereign on foreign creditors. Yet, the debt crisis in the Eurozone and the precarious fiscal prospects of other industrial countries (e.g. Japan, the United Kingdom and the United States) raise the possibility that default may actually affect domestic creditors. Strikingly, Reinhart and Rogoff noted in their celebrated 2008 book that, while there is worldwide historical evidence of outright defaults (i.e. by means other than de facto default via inflation) on domestic public debt by governments, there are hardly any macroeconomic models that can help us explain this phenomenon. Observing the debates surrounding the Eurozone debt crisis and the growing U.S. public debt ratio, three key issues are given a central role: The distributional implications of a restructuring of public debt, the effects of a public debt crisis on the ability of the government to access credit markets to conduct countercyclical fiscal policy, and the serious damage that a domestic public debt default can do to private financial markets (where public debt is the anchor asset). The public debt crises analysis proposed under this project incorporates all three of these features, and studies how the optimal tradeoff of their costs and benefits can explain why governments build up large domestic debt ratios and default infrequently, but with non-zero probability, in the long run.

摘要题目：合作研究——公共和私人债务危机：定量宏观经济模型和政策影响首席研究员：Enrique G. mendozinstitut: University of pennsylvania摘要2008年爆发的金融危机引发了大萧条以来最严重的经济衰退，在此之前，私营部门信贷出现了现代美国经济史上前所未有的爆炸式增长。美联储的资金流动数据集显示，从第二次世界大战结束到20世纪90年代中期，美国家庭的净负债徘徊在GDP的三分之一左右。然而，到2007年底，美国家庭债务增加了一倍多，达到GDP的70%左右。众所周知，这种巨大的信贷扩张推动了房价的飙升。住宅用地的市场价值从1990年代中期占GDP的48%上升到2006年占GDP的75%。此外，家庭的杠杆率很高，因为他们的债务与住宅土地价值之比从20世纪90年代中期的约2/3上升到崩盘前的1以上。金融中介机构在新创造的复杂工具中也变得高度杠杆化，这些工具促进了信贷的扩张。美国信贷繁荣的崩溃对国内外的宏观经济影响都是巨大的。世界经济陷入严重衰退，失业率飙升，全球贸易崩溃。此外，大多数工业国家的政府开始实施大规模的金融稳定和财政刺激计划，这使它们的财政状况急剧恶化。在美国，政府的净债务经历了自1790年美国联邦债务创建以来的第三大增长（按一年增量计算）。净债务与gdp之比从2007年的36%上升到2011年的68%。这次债务激增低于两次世界大战期间的水平，但高于南北战争和大萧条时期。同样，在欧洲，处于当前债务危机热区的国家（希腊、爱尔兰、意大利、西班牙和葡萄牙）的公共债务占加权GDP的比例激增了约30个百分点，即使是那些没有陷入债务危机的国家（德国、法国和荷兰）的公共债务增幅也只有前者的一半左右。上述统计数据描绘了一幅戏剧性的画面：历史性的信贷繁荣走向破灭，给私营部门和政府都带来了戏剧性的后果。此外，历史记录表明，这种模式往往是我们在大规模信贷繁荣结束时观察到的。本提案资助的研究重点是发展变革性的定量宏观经济模型，帮助我们了解这些私人和公共债务危机的原因及其宏观经济影响，并利用这些模型制定旨在预防和管理这些危机的经济政策战略。这个研究计划分为三个项目。两个与私人债务危机有关，第三个与公共债务危机有关。这两个关于私人债务危机的项目涉及一项关键政策策略，包括美联储（fed）主席贝南克（Ben Bernanke）在内的许多央行官员都将其置于预防金融危机政策策略的首位：宏观审慎金融监管。这一政策的目标是将重点放在连接整个金融体系的中介机构以及金融体系与整个经济的系统性联系上，并在信贷繁荣的早期阶段利用政策工具“冷却”信贷市场，以化解信贷繁荣。我们面临的挑战是，如何将信贷繁荣与常规的周期性信贷扩张或由金融发展驱动的信贷增长的潜在趋势区分开来，并构建可管理的政策工具，为金融市场提供正确的激励，以实现预期目标。该提案中包含的两个关于宏观审慎监管的项目都基于这样一个前提：由于现代信贷市场的借贷能力与信贷合同所依赖的收入或资产的市场价值相关联，因此借贷决策会被所谓的货币外部性扭曲。特别是，在“景气时期”做出的个人借贷决定，未能将资产价格（如住房、抵押贷款支持证券等）的崩溃如何在未来发生金融危机时引发严重的信贷紧缩内在化。目标是：首先，评估存在这种外部性的模型是否能真正解释实际金融危机的关键特征。第二，分析宏观审慎政策的有效性，宏观审慎政策的广义定义是在正常时期寻求改变信贷市场决策的政策，以减少金融危机的发生频率和严重程度。这些政策包括对债务征税、资本要求以及对贷款价值比或杠杆率的限制。目的是在两类模型中研究这些问题。一类是“代表代理人”设置，其中不考虑特定借款人的特征，但驱动宏观金融崩溃的机制和审慎方式对抗货币外部性的政策工具的使用都得到了明确的充实。第二类包括我们考虑借款人异质性的模型，特别是他们在债务敞口和就业状况方面的个人特征。公共债务危机项目对主权债务危机的宏观经济分析进行了重大改革。关于这一问题的大多数现有模型都涉及主权国家对外国债权人违约的可能性。然而，欧元区的债务危机和其他工业国家（如日本、英国和美国）不稳定的财政前景提高了违约实际上可能影响国内债权人的可能性。引人注目的是，莱因哈特和罗格夫在他们2008年出版的著名著作中指出，尽管世界各地都有政府对国内公共债务直接违约（即通过通货膨胀而不是事实上违约的方式）的历史证据，但几乎没有任何宏观经济模型可以帮助我们解释这一现象。观察围绕欧元区债务危机和不断增长的美国公共债务比率的辩论，三个关键问题被赋予了核心作用：公共债务重组的分配影响，公共债务危机对政府进入信贷市场实施反周期财政政策的能力的影响，以及国内公共债务违约可能对私人金融市场造成的严重损害（公共债务是锚定资产）。本项目提出的公共债务危机分析包含了上述所有三个特征，并研究了其成本和收益的最佳权衡如何能够解释为什么政府积累了大量的国内债务比率，并且很少违约，但从长远来看，违约的概率非零。