Financial Market Frictions, Beliefs, and the Macroeconomy; An Application to the Case of China

金融市场摩擦、信仰和宏观经济；

• 批准号: ES/R007667/1
• 负责人: Wei Cui
• 金额: $ 30.85万
• 依托单位: University College London
• 依托单位国家: 英国
• 项目类别: Research Grant
• 财政年份: 2018
• 资助国家: 英国
• 起止时间: 2018 至 无数据
• 项目状态: 已结题
• 来源: https://gtr.ukri.org/projects?ref=ES%2FR007667%2F1
• 关键词: Financial; Market; Frictions; Beliefs; Macroeconomy

Project 1: "Limited Commitment and the Effects of Monetary Policy"In this project, we will study how financial frictions affected by beliefs of market participants, and the implication for monetary policy (such as a change in interest rates on productivity and growth). The expansionary monetary policy (higher money supply growth or easier lending conditions) in China after 2011 did not have the same expansionary effects on inflation and output as in the previous years. We will study how the presence of a particular type of frictions, limited commitment, significantly affects the impact of monetary policy and can explain the different effects observed in recent years. This study could shed light on the conduct of monetary policy, which will depend on the beliefs in the credit market and the firm size-productivity distribution.Project 2: "Search-and-matching for Liquidity in Financial Markets and Government Policies"According to World Bank data, between 2000 and 2013 in China, the quantity of money (M2) grew at a yearly rate of 16.2%: in the same period, the average yearly inflation rate was 2.4%, and the average yearly real GDP growth rate 8.7%. This means that, even after taking into account the high real GDP growth, the inflation rate in China has been systematically lower than what one would expect on the basis of the money supply growth rate.Chinese financial markets are still not fully developed, and many privately issued assets are not very liquid. As a result, besides the transaction motive, economic agents' hold money also because of liquidity needs. The purpose of this project is to study how the higher liquidity needs (due to the low liquidity of the financial markets) affect the relations between monetary policy, inflation and economic growth, when beliefs about liquidity affect market participations. We will apply the study to understand the Chinese practice mentioned in the beginning, and discuss whether it is sustainable. We will study these issues by introducing asset liquidity frictions in an otherwise standard macroeconomic framework. In contrast to exogenous asset liquidity, expressed by a fixed fraction of assets sellable in a given period, endogenous asset liquidity is micro-founded and suitable for policy analysis. Project 3: "Long Run Herd Behaviour and Volatility Clustering in Financial Markets"In the third project, we turn to another form of financial frictions, asymmetric information. Financial markets are crucial for good investment decisions. The ability of prices to aggregate dispersed information is fundamental for an efficient allocation of resources. We will study the informational efficiency of the Chinese financial markets through the use of novel financial markets models, with a specific focus on learning and herding. We will also study why asset prices exhibit time-varying volatility and the extent to which this is related to herd behaviour. We will then estimate the models using transactions data for the Chinese stock exchanges obtained from Wind Info. The structural estimation will allow us to quantify the drivers of herding and asset prices' time-varying volatility and their effect on market efficiency.

项目一：“有限承诺与货币政策的效果“本课题研究市场参与者的信念对金融摩擦的影响，以及对货币政策的影响（如利率的变化对生产率和增长的影响）。2011年以后中国的扩张性货币政策（更高的货币供应量增长或更宽松的贷款条件）对通货膨胀和产出的扩张效果不如前几年。我们将研究一种特殊类型的摩擦（有限承诺）的存在如何显著影响货币政策的效果，并解释近年来观察到的不同效果。研究课题2：“金融市场流动性与政府政策的匹配研究“根据世界银行的数据，2000年至2013年，中国的货币量（M2）以每年16.2%的速度增长，这一年的增长率为16.2%。同期，年均通货膨胀率为2.4%，年均真实的GDP增长率为8.7%。这意味着，即使考虑到真实的GDP的高增长，中国的通货膨胀率仍系统性地低于根据货币供应量增长率所预期的水平。中国的金融市场尚未充分发展，许多私人发行的资产流动性不高。因此，经济主体持有货币除了交易动机外，还有流动性的需要。本研究的目的是研究当流动性信念影响市场参与时，较高的流动性需求（由于金融市场的低流动性）如何影响货币政策、通货膨胀和经济增长之间的关系。我们将应用这项研究来理解开头提到的中国做法，并讨论它是否可持续。我们将通过在一个标准的宏观经济框架中引入资产流动性摩擦来研究这些问题。与外生资产流动性（在特定时期内可出售资产的固定比例）不同，内生资产流动性是微观基础的，适合于政策分析。项目三：“金融市场的长期羊群行为和波动聚集“在第三个项目中，我们转向另一种形式的金融摩擦，信息不对称。金融市场对于良好的投资决策至关重要。价格将分散的信息聚合起来的能力是有效配置资源的基础。我们将通过使用新的金融市场模型来研究中国金融市场的信息效率，特别关注学习和羊群效应。我们还将研究为什么资产价格表现出随时间变化的波动性，以及这在多大程度上与羊群行为有关。然后，我们将使用从Wind Info获得的中国证券交易所的交易数据来估计模型。结构性估计将使我们能够量化羊群行为和资产价格随时间变化的波动性及其对市场效率的影响。

项目成果

Endogenous Liquidity and Capital Reallocation

内生流动性和资本重新配置

• 发表时间: 2022
• 作者: Cui W