Aggregate Risks and Aggregate Allocations

资产市场对未来宏观经济发展的信号是什么？宏观经济风险是如何产生和分配的，哪些摩擦可能会阻止首选解决方案？对金融市场动荡的适当政策回应是什么？拟议的研究旨在帮助回答这些问题，特别是开展三个项目。第一个项目对宏观经济冲击和金融市场之间的相互关系进行了实证研究，通过对预测误差方差的解释能力来确定冲击。第二个项目借助能够提供适当风险溢价的动态随机一般均衡模型，研究宏观经济风险的分配和几个摩擦。第三个项目试图将2008年的金融危机理解为系统性的银行挤兑，即可交易的银行资产变得缺乏流动性。它还研究了在金融危机中实施财政刺激的理由。拟议活动的智力价值拟议的研究在多个维度扩展了现有文献。第一个项目提供了一种根据冲击对解释未来差异的贡献来确定冲击的新方法，这应该更普遍地有用。它运用这一方法来检验影响资产市场和宏观经济总量的关键冲击之间的相互作用，从而加深了我们对这些关系的经验理解。第二个项目扩展和/或简化了文献，该文献寻求一个资产市场和宏观经济分配的联合模型。偏好和技术的通用提法对弹性提供了限制，这应被证明是普遍有用的。明确关键摩擦作用和特点。适合研究货币政策的动态随机一般均衡模型，在提供关键的资产市场观察的同时，扩展了现有的文献。第三个项目是受最近发生的事件的推动。尽管让人联想到典型的银行挤兑，但一个关键的区别是，摇摇欲坠的金融机构的资产至少在原则上是可以出售的。这项拟议的研究有助于构建系统性银行挤兑模型的文献，填补了我们理解上的这一空白。拟议活动的广泛影响一方面是资产市场和金融中介机构与宏观经济行为之间的相互关系，另一方面是对金融部门动荡的适当政策反应，已成为一个相当普遍的议题。本研究希望有助于加深对所涉及问题的了解，或对相关政策机构有所帮助。

What do asset markets signal about future macroeconomic developments? How are macroeconomic risks generated and allocated and what frictions may prevent a first-best solution? What are the appropriate policy responses to upheavals on financial markets? The proposed research seeks to contribute to answering these questions, pursuing three projects in particular. The first project investigates the interrelationship between macroeconomic shocks and financial markets empirically, identifying shocks by their explanatory power for forecast error variances. The second project investigates the allocation of macroeconomic risks and several frictions with the help of dynamic stochastic general equilibrium models, capable of delivering appropriate risk premia. The third project seeks to understand the 2008 financial crisis as a systemic bank run, in which tradeable bank assets become illiquid. It also examines the case for a fiscal stimulus in a financial crisis.Intellectual Merit of Proposed ActivityThe proposed research extends the existing literature in a number of dimensions. The first project provides a new method for identifying shocks based on their contribution to explaining future variance, which should be useful more generally. It applies this methodology to examine the interaction between key shocks moving asset markets and macroeconomic aggregates, thereby deepening our empirical understanding of these relationships. The second project extends and/or streamlines the literature, which seeks a joint modelfor asset markets and macroeconomic allocations. Generic formulations for preferences and technologies provide restrictions on elasticities which should prove generally useful. The role of key frictions and features shall be clarified. A DSGE model suitable for studying monetary policy, while delivering key asset market observations, extends the existing literature. The third project is motivated by recent events. While reminiscent of a classic bank run, a key difference is that the assets of shaky financial institutions are marketable at least in principle. The proposed research contributes to the literature of constructing a model of a systemic bank run, filling this gap in our understanding. The proposal furthermore contributes to the literature of the special role of fiscal policies during a financial crisis.Broader Impact of Proposed ActivityThe interrelationship between asset markets and financial intermediaries on the one side and macroeconomic behavior on the other as well as appropriate policy responses to disturbances in the financial sector have become a topic of considerable general interest. This research hopes to contribute to a deeper understanding of the issues involved, which may be of help for the relevant policy institutions.