'An analysis of the interrelationship between credit market dynamics and macroeconomic fluctuations'

“信贷市场动态与宏观经济波动之间的相互关系分析”

• 批准号: 1939435
• 金额: --
• 依托单位: Birkbeck, University of London
• 依托单位国家: 英国
• 项目类别: Studentship
• 财政年份: 2017
• 资助国家: 英国
• 起止时间: 2017 至 无数据
• 项目状态: 已结题
• 来源: https://gtr.ukri.org/projects?ref=studentship-1939435
• 关键词: analysis; interrelationship; between; credit; market

This research proposal seeks to answer 4 research questions. The first question is whether fluctuations inthe price and quantity of credit are supply driven or demand driven. The view that shocks to credit supplyare an important factor driving macroeconomic fluctuations became a prevalent view following the crisis of2007/8 and informed much of the subsequent policy response. However, the view that fluctuations in theprice and quantity of credit are primarily supply driven is contested. The second question is whether thefinancial sector as a whole seeks to maximise leverage. The view that financial institutions seek tomaximise leverage subject to a Value-at-Risk constraint (i.e. subject to a maximum potential loss at agiven probability level) has become a prominent way to model credit supply shocks. However, evidencethat the financial sector as a whole behaves in this way is not clear-cut. The third question is howincorporating uncertainty into Value-at-Risk models may affect financial sector behaviour. The distinctionbetween risk (where the distribution of possible outcomes is known) and uncertainty (where thedistribution is not known) may provide additional insight with which to characterise financial sectorbehaviour. The fourth question is what are the implications of incorporating insurance into value-at-riskmodels. This insurance may either take the form of explicit counterparty insurance (e.g. credit defaultswaps) of the form of implicit state backing (e.g. 'too big to fail'). It is hoped that the answers to theseresearch questions will provide useful insights for macroprudential and monetary policy.

本研究旨在回答四个研究问题。第一个问题是，信贷价格和数量的波动是由供给驱动还是由需求驱动。2007/08年危机后，信贷供应冲击是推动宏观经济波动的一个重要因素的观点成为一种普遍看法，并为随后的大部分政策反应提供了信息。然而，信贷价格和数量的波动主要是供应驱动的观点是有争议的。第二个问题是金融部门作为一个整体是否寻求最大化杠杆。金融机构寻求在风险价值约束（即在给定概率水平下的最大潜在损失）下最大化杠杆的观点已经成为模拟信贷供应冲击的一种重要方法。然而，金融部门作为一个整体以这种方式行事的证据并不明确。第三个问题是，将不确定性纳入风险价值模型可能会如何影响金融部门的行为。风险（可能结果的分布已知）和不确定性（分布未知）之间的区别可能提供额外的洞察力，以了解金融部门的行为。第四个问题是将保险纳入风险价值模型的含义是什么。这种保险可以采取明确的交易对手保险（如信用违约掉期）的形式，也可以采取隐含的国家支持（如“大到不能倒”）的形式。希望这些研究问题的答案能为宏观审慎和货币政策提供有益的启示。