A New Paradigm for Understanding and Controlling Systemic Risks in Financial Markets

最近的金融危机始于银行业危机。这类危机的典型情况是，由此造成的金融市场信贷紧缩蔓延到真实的经济。这场危机的影响是毁灭性的：失业率飙升，许多人难以维持生计。虽然当前的危机已经严重，但此类危机发生得相当频繁，并且有一个共同的主题：风险过度积累导致资产价格上涨。不幸的是，目前的监管政策不足以防止或减轻风险积累。本研究的目的是应用系统理论中经过验证的强大工具来开发金融市场的准确模型，并将这些模型应用于控制法和博弈论机制的开发，这些机制可供监管机构用于设计正确平衡风险积累和增长的实用监管政策。智力优势：金融市场的繁荣-萧条风险在很大程度上取决于金融中介机构的作用，这些中介机构进行短期借贷，为长期投资提供资金。导致这种系统性风险的主要因素是：借贷和投资期限的不匹配，这些中介机构在长期资产高企时保持高杠杆的投资策略，以及联邦？调整短期借款利率的策略。拟议的市场动态模型将在控制和博弈论框架中解决这些风险来源，以便1）对最近的信贷危机提供严格的解释，捕捉市场所有参与者之间的反馈互动，2）提出稳健和动态的市场机制，减轻中介机构引发的风险，3）为美联储提出简单直观的策略，并将其转化为可实施的市场监管政策。更广泛的影响：本项目的广泛影响可以概括如下：研究：关于系统性风险的研究文献仍处于起步阶段，即使在经济学专业中，大部分焦点都集中在银行业和货币政策上。只是在最近的金融危机之后，宏观经济学家才开始关注金融业的其他部分，如衍生品、抵押贷款支持证券、真实的房地产和对冲基金。即便如此，大多数宏观经济思维仍然由平稳线性理性预期均衡模型主导，而不是由反馈循环、系统辨识、非线性动力学和鲁棒控制方法主导。用系统工程的方法来模拟全球经济，有可能改变经济学家对系统性风险的看法。学历：该项目还希望通过让工程专业的学生面对当前经济状况带来的挑战，对教育领域产生广泛的影响。控制理论和系统理论的经济系统的成功应用将创造许多机会，掌握？工程硕士、博士论文。从这项研究中开发的方法将被纳入麻省理工学院的课程，然后将通过麻省理工学院公开提供？开放式课程。拟议的工具将与经济学家和各种金融机构使用的工具相结合。政策：监管机构和决策者目前正在重新完善经济和金融体系的法律的、会计和监管基础设施，系统工程方法对这些审议是不可或缺的。在过去的30年里，控制理论对国家航空航天和国防政策产生了不可磨灭的影响，同样，在制定经济和金融政策时也可以产生类似的影响。

The recent financial crisis started as a banking crisis. As is typical with such crises, the resulting contraction of credit in the financial markets spread to the real economy. The effects of the crisis have been devastating: unemployment has skyrocketed and many people are struggling to make ends meet. Although the current crisis has been severe, such crises occur quite frequently and have a common theme: rising asset prices fueled by an excessive accumulation of risk. Unfortunately, current regulatory policy is not sufficient to prevent or mitigate risk buildup. The objective of this research is to apply proven, robust tools from systems theory to develop accurate models of the financial market and to apply such models to the development of control laws and game-theoretic mechanisms that can be used by regulators to design practical regulatory policies that correctly balance risk accumulation and growth. Intellectual Merit: Boom-Bust risks in the financial market are heavily dependent on the role of the financial intermediaries that undertake short-term borrowing in order to finance long-term investments. The main factors contributing to such systemic risks are: the mismatch in the duration between borrowing and investing, the investment strategies of such intermediary institution that maintain a high leverage when long term assets are high, and the Federal Reserve?s strategies in adjusting short-term borrowing rates. The proposed dynamic model of the market will address these sources of risks in a control and game-theoretic framework in order to 1) provide a rigorous explanation of the recent credit crises that capture the feedback interaction between all the players in the market, 2) propose robust and dynamic market mechanisms that mitigate the risk induced by the intermediary institutions, and 3) propose simple and intuitive strategies for the Fed that can translate into implementable regulatory policy for the market.Broader Impact: The broad impact of this project can be summarized as follows: Research: The research literature on systemic risk is still in its infancy, even in the economics profession where most of the focus has centered exclusively on the banking sector and monetary policy. Only in the aftermath of the recent financial crisis have macroeconomists begun to pay attention to other parts of the financial industry such as derivatives, mortgage-backed securities, real estate, and hedge funds. Even so, the majority of macroeconomic thinking is still dominated by stationary linear rational expectations equilibrium models, not by feedback loops, system identification, nonlinear dynamics, and robust control methods. A systems engineering approach to modeling the global economy has the potential to change the way economists think about systemic risk. Education: The project also hopes to have broad impact on the educational front by exposing engineering students to challenges posed by current economic conditions. A successful application of control theory and systems theory to economic systems will create many opportunities for master?s and doctoral theses in engineering. The approaches developed from this research will be incorporated in the curriculum at MIT, which will then be made publicly available via MIT?s Open Course Ware. The proposed tools will be integrated with the tools used by economists and various financial institutions. Policy: Regulators and policymakers are currently engaged in re-vamping the legal, accounting, and regulatory infrastructure of the economic and financial system, and a systems engineering approach can be indispensable to these deliberations. In the same way that control theory has had an indelible impact on national aerospace and defense policy over the last three decades, a similar kind of impact can be achieved in crafting economic and financial policy.