Collaborative Research: Good Booms, Bad Booms

最近的金融危机给经济学家带来了挑战：需要能够反映金融危机的模型，但这些模型必须与信贷繁荣先于危机这一强有力的发现保持一致。然而，并不是所有的繁荣都以危机告终；有些以危机告终，有些则没有。为什么只有一些繁荣以危机告终？这些不同类型的繁荣与劳动生产率或全要素生产率(TFP)等宏观经济变量的关系是否有所不同？这对于确定一个综合框架是否能够涵盖衰退、金融危机和增长，或者金融危机是否如此特殊，以至于需要一个完全不同的模式，具有重要意义。PI同时使用经验方法和正式建模来回答这些问题。在实证部分，他们研究了宏观经济和金融面板数据。他们首先识别信贷繁荣，并根据它们是否以危机告终来划分它们的好坏。然后，他们分析好繁荣和坏繁荣的解剖，以了解它们在生产率方面的主要差异。然后，他们建立了一个正式的经济模型，该模型使用一个简单的框架来解释他们的经验结果。如果信贷繁荣不是通过生产率的同步提高来维持的，那么在某个时候，支撑信贷的抵押品会触发信贷市场的信息获取，那么即使没有对经济造成任何负面冲击，可获得的信贷也会减少，金融危机就会发生。该项目的学术价值在于表明，金融危机的解释不需要依赖于同期的冲击，而是需要依赖于经济中生产率和信贷之间的动态预先相互作用。理解这一联系对于识别使金融危机更有可能发生的警告信号至关重要。这项研究大致可以细分为三个部分。第一步是扩大和完善理论框架，为生产率的演变提供全面的分析；第二步是进行历史和实证研究，记录在以危机告终的信贷繁荣期间和不以危机告终的信贷繁荣期间，生产率如何不同地演变。第三步是采取政策视角，目的是评估政策制定者如何区分信贷繁荣的要素，这些要素使金融危机更有可能演变。

The recent financial crisis poses challenges for economists: Models that display financial crises are needed, but these models must be consistent with the robust finding that credit booms precede crises. However, not all booms end in a crisis; some do and some do not. Why do only some booms end in a crisis? Are these different types of booms related to macroeconomic variables, such as labor productivity or total factor productivity (TFP), differently? This is important for determining whether one integrated framework can encompass recessions, financial crises and growth, or whether financial crises are so special that a completely different model is needed. The PIs use both empirical methods and formal modeling to answer these questions. In the empirical part they study macroeconomic and financial panel data. They first identify credit booms and classify them between good and bad depending on whether they ended in a crisis or not. Then they analyze the anatomy of good booms and bad booms to understand their main differences in terms of productivity. They then build a formal economic model that uses a simple framework to explain their empirical results. If a credit boom is not sustained by a parallel increase in productivity, at some point the collateral sustaining the credit triggers information acquisition in credit markets, less credit is available and there is a financial crisis, even in the absence of any negative shock to the economyThe intellectual merit of the project is to show that the explanation of financial crises does not need to rely on contemporaneous shocks, but rather on the dynamic preceding interaction between productivity and credit in the economy. An understanding of this link is essential to identify warning signals that make financial crises more likely. The research can be broadly subdivided into three components. The first is to expand and refine the theoretical framework to provide a comprehensive analysis of the evolution of productivity The second step is to undertake historical and empirical research that documents how productivity evolves differently during credit booms that end in crises and those that do not. The third step is to take a policy perspective, with the aim of assessing how policymakers can distinguish elements of credit booms that make financial crises more likely to evolve.