Strategic effects of liquidity injections, lender-of-last-resort facilities and monetary policy responses to asset prices.

危机期间和危机后的货币政策以及最后贷款人机制引起了对金融中介机构道德风险的关切。第一最佳货币政策的时间不一致性提出了一个问题，即如何实施第二最佳政策。经济主体之间的相互作用要求对宏观经济变量与金融市场之间的关系进行博弈论分析。在本项目的第一阶段，我们集中研究了政府对银行业的担保与主权违约之间的相互依赖性、货币政策的时间不一致性以及动态随机一般均衡（DSGE）模型中内生流动性的宏观经济效应等三个问题，在下一阶段，我们将把注意力转移到货币政策的行为基础上。1. 我们计划在研究银行业的最后贷款人安排及担保计划的基础上，以实验室试验分析银行挤提的情况。我们最感兴趣的是找到最佳的应对流动性冲击的方案，避免银行挤兑，并结合预先宣布的应对方案和流动性和股权监管规则，最大限度地减少银行危机的可能性。2. 在动态随机一般均衡（DSGE）模型的框架内，我们计划分析损失规避对定价过程的影响及其在金融危机后实施货币政策的后果。该项目的总体目标是分析不同宏观审慎监管制度下流动性供应和货币政策的战略影响。因此，我们希望为设计一个新的货币政策和宏观审慎监管架构做出贡献，以平衡稳定通货膨胀、产出和金融市场。

Monetary policy during and after crises and lender-of-last-resort facilities raise concerns of moral hazard on the side of financial intermediaries. Time inconsistency of first-best monetary policy raises the question, how second best policies can be implemented. The interaction of economic agents calls for a game-theoretic analysis of the relationship between macroeconomic variables and financial markets. During the first phase of this program, we concentrated on three topics: the interdependency between government guarantees for the banking sector and sovereign defaults, time inconsistency of monetary policy, and macroeconomic effects of endogenous liquidity within dynamic stochastic general equilibrium (DSGE) models.During the next phase of this project, we shift our attention to behavioural foundations of monetary policy. 1. Building up on our work on lender-of-last-resort facilities and guarantee schemes provided to the banking sector, we plan to analyse bank runs by laboratory experiments. We are most interested in finding optimal response schemes to liquidity shocks that stave off bank runs and in combinations of pre-announced response schemes and rules of liquidity and equity regulation that minimize the probability of banking crises. 2. Within the framework of dynamic stochastic general equilibrium (DSGE) models, we plan to analyse the effects of loss aversion on the pricing process and its consequences for conducting monetary policy in the aftermath of financial crises. The overarching goal of this project is to analyse the strategic effects of liquidity provision and monetary policy under distinct regimes of macroprudential regulation. Thereby, we want to contribute to the design of a new architecture for monetary policy and macroprudential regulation aimed at a balanced stabilization of inflation, output and financial markets.