The Balance Sheet Effect and Monetary Policy

资产负债表效应与货币政策

• 批准号: 16530163
• 负责人: AKIBA Hiroya
• 金额: $ 0.9万
• 依托单位: Waseda University
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Scientific Research (C)
• 财政年份: 2004
• 资助国家: 日本
• 起止时间: 2004 至 2005
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/en/grant/KAKENHI-PROJECT-16530163/
• 关键词: International Economics; Monetary Policy; 経済政策

In this project I started to examine and analyze the Balance Sheet Effect in detail which has been emphasized as the causal factor of currency crises in the recent literature, with an aim to find out under what situations and mechanisms crises erupt, and to propose what kid of monetary policy should be appropriate to deal with crises.First, I closely examined the so-called the first generation model and the second generation models. and confirmed the limitations inherent to those models, and then examined the third generation model. In the latter models, with full recognition of the limitations and deficiencies of the former two models, the moral hazard problems on the financial institutions, the rescue problems on the government side fragility of the financial institutions, deterioration of the balance sheet on the firms, etc. have been emphasized as causal factors of crises.The Balance Sheet Effects were examined by scrutinize empirical researches for six Latin American countries (Co … More lumbia, Brazil, Peru, Chile, Mexico, and Argentina). Due to data restrictions I found that it was not an easy task to establish the existence of the Balance Sheet. Effects in those countries.With the Balance Sheet Effects it is likely that a currency crisis erupts. Once the crisis erupts, and if the monetary authorities adopt a restrictive policy as a counter measure, two contradictory views have been offered : one is the so-called orthodox view, in which the restrictive policy has an intended effect to bring the economy back to the recover process and the other is the perverse view, in which such a policy makes the economy further away from recovery and even worse. I examined which view is correct and under what conditions the perverse view is likely within a simple, intertemporal optimization model by an interaction between the real sector and the asset sector. Due to several exogenous shocks I clarified that under certain conditions a crisis may be likely with an excessive depreciation of the exchange rate and a large fall in the output. Furthermore, in those crisis situations, I could show that there are cases in which the perverse view predicts if the monetary authorities adopt restrictive monetary policy. Less

在这个项目中，我开始对近年来文献中强调的货币危机诱发因素——资产负债表效应进行详细考察和分析，旨在了解危机在什么情况和机制下爆发，并提出应该采取什么样的货币政策来应对危机。首先，我仔细研究了所谓的第一代模型和第二代模型。并确认了这些模型固有的局限性，然后检查了第三代模型。后一种模型在充分认识到前两种模型的局限性和不足的基础上，强调金融机构的道德风险问题、政府救助问题、金融机构的脆弱性、企业资产负债表的恶化等作为危机的诱发因素。资产负债表效应通过对六个拉美国家（Co … More lumbia、 巴西、秘鲁、智利、墨西哥和阿根廷）。由于数据限制，我发现确定资产负债表的存在并不是一件容易的事。对这些国家的影响。由于资产负债表效应，货币危机很可能爆发。一旦危机爆发，如果货币当局采取限制性政策作为应对措施，就会出现两种相互矛盾的观点：一种是所谓正统观点，认为限制性政策具有使经济回到复苏进程的预期效果；另一种观点是错误观点，认为这种政策会使经济离复苏更远，甚至更糟。我通过实体部门和资产部门之间的相互作用，在一个简单的跨期优化模型中研究了哪种观点是正确的，以及在什么条件下可能出现相反的观点。由于一些外生冲击，我澄清说，在某些条件下，可能会发生危机，汇率过度贬值，产出大幅下降。此外，在这些危机情况下，我可以证明，在某些情况下，错误的观点预测货币当局是否会采取限制性货币政策。较少的