Financial Market Development and Macroeconomic Instability

本文的主要研究结果如下：(1)构建了一个金融市场不完善的动态一般均衡模型，证明了金融市场在一个经济体中的发展会导致经济的不稳定。(2)利用日本企业层面的数据，我们发现，直到20世纪90年代中期，企业的融资方式，如企业从银行借款、债券和贸易信贷，在制造业和非制造业部门都具有很强的可替代性，这种关系在20世纪90年代末被削弱。(3)将奈特不确定性引入两期模型，发现奈特不确定性的程度影响各种投资行为，且奈特不确定性影响的方向取决于不确定性的性质。(4)通过构建具有金融市场摩擦的代际重叠模型，我们证明了在存在信贷约束的情况下，即使在动态有效的经济中，资产泡沫也会出现，并且这些泡沫会破坏经济的稳定。

The main results obtained in this project are summarized as follows(1) Constructing a dynamic general equilibrium model with financial market imperfections, we showed that the development of financial market in an economy could destabilize the economy.(2) Using Japanese firm level data, we showed that until the mid of 1990s firms' financing methods such as corporate borrowings from banks, bonds and trade credits were strongly substitutable to liquid asset holdings in both the manufacturing and non-manufacturing sectors and that this relationship was weakened in the late 1990s.(3) Introducing Knightian uncertainty into two-period models, we showed that the degree of Knightian uncertainty affects various kinds of investment behavior and that the direction of the effects of Knightian uncertainty depends on the nature of the uncertainty.(4) Constructing an overlapping generations model with financial market frictions, we showed that in the presence of credit constraints asset bubbles can emerge even in a dynamically efficient economy and that these bubbles can destabilize the economy.