The Origins of Financial Instability and Policy Responses

在一场重大金融危机发生几年后，金融不稳定仍然普遍存在于经济的几个部门。在欧洲，不良贷款仍然很高，特别是在意大利、西班牙和法国等国，这表明，关于借款人的信息不完整和抵押品价值过高，仍然需要采取纠正行动。正在实施各种宏观审慎措施，以控制信贷增长出现不稳定。第二，银行部门的脆弱性也很普遍，在许多国家，银行挤兑和银行违约仍然频繁发生。在此背景下，新的欧洲监管架构正在推进流动性监管的设计和实施，其效力和可能的后果仍然未知。除了信贷市场和传统银行业的不稳定之外，新的数字市场（特别是加密货币市场）也带来了挑战，因为在许多情况下，它们表现出泡沫倾向。鉴于上述情况，本项目旨在研究金融市场不稳定的根源，以及在三个经济部门可能采取的预防措施，即家庭的借贷决定，异质性可能助长放大效应，银行部门可能出现挤兑，这可能需要流动性监管，在新兴的数字市场（尤其是加密货币），交易和价格往往是由热情的投资者而不是基本面驱动的。虽然在学术方面，有人认为宏观经济模型缺乏理解与金融方面复杂相互作用的关键要素，但决策者也呼吁建立新的模型来指导宏观审慎政策。在这一背景下，本项目的重点是建立模型，这些模型也可用于上述领域的政策分析。第一个目的是建立一个异质代理人模型与合同成立的信用摩擦，研究宏观审慎政策的分配后果。第二个分项目的目的是建立一个宏观模型，其中包括可能发生挤兑并与外部融资者签订最佳合同协议的银行，以评估流动性监管在遏制银行业恐慌方面的作用。第三个分项目旨在研究价格的决定因素和新的数字市场出现不稳定的条件。

Several years after a major financial crisis, financial instability is still pervasive in several sectors of the economy. In Europe non-performing loans are still high particularly in countries like Italy, Spain and France, indicating that incomplete information on borrowers and over-valued collateral still need corrective actions. Various macro-prudential measures are being implemented to control the emergence of instability on credit growth. Second, fragility in the banking sector is also pervasive whereby in many countries bank runs and bank defaults are still frequent. Against this background the new European supervisory architecture is advancing on the design and implementation of liquidity regulation, whose efficacy and possible consequences are still unknown. Beyond instability in credit markets and in the traditional banking sector, new digital markets (notably those for crypto-currencies) are posing challenges in that in many cases they exhibit bubble-prone dynamics. Given the above this project aims at examining the origins of financial market instability, and its possible prevention, in three sectors of the economy, namely in households’ borrowing decisions, whereby heterogeneity might foster amplifications, in the banking sector subject to bank runs, which possibly call for liquidity regulation, and in new digital markets (notably crypto-currencies) where trading and prices are often driven by exuberant investors more than by fundamentals. While on the academic side it has been argued that macroeconomic models lack key ingredients to understand the complex interaction with the financial side, policy makers also call for new models to guide macro-prudential policy. Against this background, in this project we focus on building models which can also be used for policy analysis in the above-mentioned areas. The first aims at building a heterogeneous agents model with contractually founded credit frictions to study the distributional consequences of macro-prudential policy. A second sub-project aims at building a macro model with banks subject to runs and holding optimal contractual agreements with outside financiers to assess the role of liquidity regulation in containing banking panics. A third sub-project aims at studying the determinants of prices and the conditions for the emergence of instability in new digital markets.