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

这项研究计划试图回答4个研究问题。第一个问题是，信贷价格和数量的波动是供给驱动的还是需求驱动的。认为信贷供应受到冲击是推动宏观经济波动的一个重要因素的观点在2007/2008年危机之后成为一种流行观点，并为随后的政策反应提供了很大的信息。然而，认为信贷价格和数量的波动主要是由供应驱动的观点受到质疑。第二个问题是，作为一个整体，金融业是否寻求最大化杠杆。金融机构寻求最大化杠杆率的观点受到在险价值约束(即在一定概率水平上受到最大潜在损失的约束)，已成为模拟信贷供应冲击的一种重要方式。然而，金融部门作为一个整体存在这种行为的证据并不明确。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(已知可能结果的分布)和不确定性(未知分布)之间的区别，可能为描述金融部门行为提供了额外的洞察力。第四个问题是，将保险纳入风险价值模型会带来什么影响。这种保险可以采取显性交易对手保险的形式(例如信用违约互换)，也可以采取隐含的国家支持形式(例如“大到不能倒”)。人们希望，这些研究问题的答案将为宏观审慎和货币政策提供有用的见解。

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.