Debt market imperfections and macroeconomic implications

其基本思路是追求并结合两个不同的研究方向，一个在一般均衡建模领域，另一个在金融中介和银行债券市场定价领域，以更好地理解宏观经济结果是如何受到金融系统复杂性的影响的。我们认为，在这个项目中研究的特殊缺陷对于理解为什么个别金融机构在这场危机中摇摇欲坠至关重要。因此，这些不完善之处是新一代宏观模型的重要组成部分，这些模型明确解决了金融体系的脆弱性。该项目由宏观经济学家和金融研究人员共同完成，预计总工期为6年（两期3年）。这个正在进行的项目的研究议程围绕三个主要支柱进行阐述，每个支柱又细分为不同的工作包。第一个支柱主要是宏观导向的，需要发展适当的宏观模型，以纳入金融中介和违约风险。在第一阶段，我们应用了一个包含银行挤兑的宏观模型来分析各种政策问题，并对风险承担渠道进行了实证检验。在第二阶段，我们计划分析过度杠杆对宏观经济动态和泡沫形成的影响。在这里，我们开发了一个包含银行和家庭债务的宏观模型：在这个模型中，我们将考虑影响过度杠杆形成的行为因素，我们将特别关注损失厌恶代理人（银行经理和家庭）。第二个支柱主要以金融为导向，我们关注金融机构的风险承担决策。其中一项工作侧重于银行风险承担对政府干预市场的反应。我们分析了第一阶段的两种干预措施：隐性救助担保和主权违约风险。第二阶段将增加管理层薪酬作为第三个干预因素。另一项工作侧重于银行风险承担对贷款市场资产证券化（重新）出现的反应。这项工作集中在第二阶段。第三个支柱是一个顶点项目，整合金融工作流程，重点关注银行违约传播，以及货币政策分析。在项目的第一阶段，我们开发了一个简单的银行数字网络模型，该模型内化了网络形成和资产相关性。这种主力模式将在第二阶段得到扩展，纳入一系列政策规则和一套不同的监管工具。目的是分析货币政策（以价格稳定为目标）和金融监管（以系统稳定为目标）对不同监管制度和银行结构的相互作用。我们期望从所有工作包中得出政策结论。

The basic idea is to pursue and then combine two different strands of research, one in the field of general equilibrium modelling and the other in the field of financial intermediation and pricing in bank bond markets, to gain a better understanding of how macroeconomic outcomes are influenced by the complexities of financial systems. We believe that the particular imperfections studied in this project are essential for understanding why individual financial institutions faltered during this crisis. These imperfections are therefore an important ingredient in a new generation of macro models that explicitly address the fragility of a financial system. The project with an estimated total duration of six years (two phase of 3 years) is joint work by macroeconomists and finance researchers. The research agenda of this ongoing project is articulated around three main pillars, each subdivided in different work packages. The first pillar is primarily macro-oriented and entails the development of suitable macro models for incorporating financial intermediation and default risk. In the first phase, we have applied a macro model with bank runs to analyze various policy questions and to test empirically the risk taking channel. In the second phase, we plan to analyze the consequences of excessive leverage on the macro-economic dynamic and on the formation of bubbles. Here we develop a macro model with both bank and household debt: in this model, we will consider behavioral elements that affect the formation of excessive leverage and we will focus in particular on loss averse agents (bank managers and households). In the second pillar, which is mainly finance-oriented, we focus on the risk taking decisions by financial institutions. One of the work packages focuses on the response of bank risk taking to government intervention in markets. We have analyzed two such interventions in phase I: implicit bailout guarantee and sovereign default risk. Phase II will add management compensation as a third intervening factor. Another work package focuses on the response of bank risk taking to the (re-)emergence of asset securitization in loan markets. This work is concentrated in Phase II. The third pillar is a capstone project, integrating the finance work stream, focusing on bank default propagation, with the analysis of monetary policy. During the first phase of the project, we have developed a simple numerical network model of banks that endogenizes network formation and asset correlation. This work-horse model will be extended in the second phase to include a range of policy rules and a set of different regulatory instruments. The aim is to analyze the interplay of monetary policy (targeting price stability) and financial regulation (targeting systemic stability) for different regulatory regimes and banking structures. We expect to derive policy conclusions from all work packages.