Macroeconomic Modles for Financial Crisis and Policy Analysis

项目摘要：这一项目的智力价值在于继续发展宏观经济模型，以反映金融和真实的部门之间的相互作用。长期目标是制定一个框架，能够（i）捕捉最近出现的金融危机类型;（ii）描述联邦和财政部的“非常规”信贷市场干预如何稳定经济;（iii）探索这些政策可能引发的冒险动机;评估旨在减少未来金融危机威胁的“宏观审慎”政策的可取性。此外，该计划不仅要提出定性见解，还要制定一个有助于定量分析的框架。该方法建立在Gertler和Karadi（GKa 2010）以及Gertler和Kiyotaki（GKi 2010）的基础上。这项工作将银行业纳入一个标准的定量宏观经济模型。在这些框架内引发危机的关键是银行对短期债务的严重依赖。这一特点使这些机构高度暴露于其投资组合不利回报的风险，这与最近的经验是一致的。然而，在这些框架和这一类别的大多数其他框架内，根据假设，银行获得外部资金的唯一途径是发行短期债券。该项目的第一步将是通过允许更多的工具来对冲风险（例如发行新股等），丰富银行的投资组合决策。我们的目标是建立一个模型，不仅能在金融机构极易受到风险影响时捕捉危机，而且能解释为什么这些机构一开始就采用这种风险投资组合结构。第二步将是研究过去几年的“非常规”信贷市场干预如何影响银行的投资组合决策。GKa和GKi都研究这些政策如何帮助稳定经济。然而，由于他们考虑的是一个非常简单的银行负债结构框架，他们没有抓住这些政策对银行冒险动机的可能影响。有了这一新框架，就有可能从数量上把握这些政策的“道德风险”后果。第三步是扩展该框架，以考虑旨在减少银行冒险的资本和流动性要求等宏观审慎政策。该项目的更广泛影响将涉及从业者（如中央银行）使用为研究非常规和宏观审慎政策而开发的框架。

Project Summary: The intellectual merit of this project involves the continuing development of macroeconomic models that capture the interaction between the financial and real sectors. The long term goal is to develop a framework that can (i) capture financial crises of the type that recently unfolded (ii) characterize how the "unconventional" credit market interventions by the Federal Reserve and the Treasury may have worked to stabilize the economy;(iii) explore the incentives for risk-taking that these policies may have induced; and (iv) assess the desirability of "macroprudential" policies aimed at reducing the threat of a future financial crisis. Further, the plan is to not only develop qualitative insights but also to develop a framework that is useful for quantitative analysis. The approach builds on Gertler and Karadi (GKa 2010) and Gertler and Kiyotaki (GKi 2010). This work incorporates a banking sector within a standard quantitative macroeconomic model. Key to motivating a crisis within these frameworks is the heavy reliance of banks on short term debt. This feature makes these institutions highly exposed to the risk of adverse returns on their portfolio in way that is consistent with recent experience. Within these frameworks and most others in this class, however, by assumption the only way banks can obtain external funds is by issuing short term debt. The first step in this project will be to enrich the portfolio decisions of banks by permitting additional instruments to hedge risks (e.g. new equity issues, etc.). Here the goal is to have a model that can not only capture a crisis when financial institutions are highly vulnerable to risk, but also account for why these institutions adopt such risky portfolio structure in the first place. The second step will then be to study how the "unconventional" credit market interventions of the last several years may have affected banks' portfolio decisions. Both GKa and GKi study how these policies helped stabilize the economy. However because they considered a framework with a very simple bank liability structure, they did not capture the possible effects of these policies on banks risk-taking incentives. With this new framework it will be possible to capture quantitatively the "moral hazard" consequences of these policies. The third step then is to extend the framework to consider macroprudential policies such as capital and liquidity requirements that are aimed to curtail bank risking taking.The broader impact of the project will involve use by practitioners (e.g. central banks) of the frameworks developed to study unconventional and macroprudential policies.