Risk Markets Imbalances and Macroeconomics

本项目探讨风险资产的供求变化及其失衡（风险-市场失衡）如何影响宏观经济结果。然后，研究从这个角度考虑有效的宏观经济政策。这项研究与最近的低利率环境高度相关，因为从历史上看，货币政策一直是防止严重的风险市场冲击蔓延到实体经济的最直接工具。当利率处于低位时，传统的政策是无效的。此外，低利率环境鼓励投机泡沫和高收益投资模式，使经济更加脆弱。这些现象及其应对政策影响到全球经济，需要国际协调一致的应对措施。这项研究将产生新的分析工具来整合金融和宏观经济分析。它还将通过考虑风险-市场失衡对实体经济的影响，探索应对宏观经济结果的最佳政策。本项目研究风险冲击与货币政策约束之间在产生经济波动方面的相互作用，金融投机及其驱动因素在加剧这些波动的严重程度方面的作用，以及在这种环境下的最佳货币、财政和宏观审慎政策联合框架。具体来说，该研究考察了利率下限为零（ZLB）的避险事件，其中包含了一系列更广泛的限制因素，包括政治经济方面的担忧。本研究还将从理论和实证两方面探讨杠杆的作用及其对不同政策框架的反应。该项目进一步将投机泡沫和行为因素纳入该框架。在国际方面，研究将开发和测试在全球和地方规避风险时期的总资本流动和汇率变动模型。然后，该项目将探讨在低利率环境下应对全球周期的最佳国际协调机制。该奖项反映了美国国家科学基金会的法定使命，并通过使用基金会的知识价值和更广泛的影响审查标准进行评估，被认为值得支持。

Abstract This project explores how changes in the demand and supply for risky assets and the imbalance between them (risk-market imbalances) affect macroeconomic outcomes. The research then considers efficient macroeconomic policy from this perspective. This research is highly relevant in the recent low interest rate environment, as monetary policy has historically been the most direct tool to prevent severe risk-markets shocks from spilling over to the real economy. When interest rates are low, traditional policies are ineffective. Furthermore, a low interest rate environment encourages speculative bubbles and high yield investment patterns that make the economy more vulnerable. These phenomena and policy responses to them impact the global economy and require an internationally coordinated response. This research will generate new analytical tools to integrate financial and macroeconomic analysis. It will also explore optimal policy responses to macroeconomic outcomes by considering the impact of risk-market imbalances on the real economy. This project examines the interactions between risk-shocks and constraints on monetary policy in generating economic fluctuations, the role of financial speculation and its drivers in exacerbating the severity of these fluctuations, and the optimal joint monetary, fiscal, and macroprudential policy framework for this environment. Specifically, the research examines risk-off episodes with a zero-lower bound (ZLB) on interest rates that incorporates a broader set of constraints, including political economy concerns. The research will also explore, both theoretically and empirically, the role of leverage and how it responds to different policy frameworks. The project further incorporates speculative bubbles and behavioral elements in this framework. On the international front, the research will develop and test models of gross capital flows and exchange rate movements during both global and local risk-off episodes. The project will then explore optimal international coordination mechanisms to deal with global cycles in a low interest rate environment.This award reflects NSF's statutory mission and has been deemed worthy of support through evaluation using the Foundation's intellectual merit and broader impacts review criteria.