Financial Intermediaries in a Modern Economy: Risk Taking and Liquidity Provision

研究小组计划进行两个项目，分析现代银行的两种特性。首先，现代银行面临的风险不仅来自传统的风险资产（贷款和证券）所有权，还来自它们的交易账簿，尤其是它们在衍生品市场上的头寸。研究小组将开发一种利用监管数据和利率动态来衡量这些风险敞口的新方法。现代银行的第二个关键属性是，它们与金融清算所等其他中介机构一起，为客户提供支付服务。客户包括家庭、公司和机构投资者，如经纪交易商和资产管理公司。现有的商业周期和资产价格模型通常不包括这些支付服务。该团队将开发一个包含这些服务的经济模型，并将使用该模型量化通货膨胀和资产价格对货币政策和经济冲击的反应。由该奖项资助的研究将为政策制定者和监管机构提供预测经济政策效果的新工具和模型。使用监管或股票市场数据衡量这种风险的现有方法无法比较不同头寸风险的时间变化。例如，这些措施不能用于确定衍生品头寸是否对冲其他业务。因此，在实践中，监管机构依赖于压力测试。新方法利用利率中的因素结构，以简单的因素组合来表示许多银行头寸（包括衍生品）。透明的算法为每个银行头寸和每个日期提供跨日期、银行和头寸可比较的敞口数字。第二个项目建立了一个动态均衡模型，在这个模型中，商品和服务是用银行或清算所提供的内部资金支付的。该模型共同决定了资产价格、通货膨胀以及支付金额。该模型包括有关支付和银行头寸的数据，并利用这些数据进行定量预测。

The research team plans two projects that analyze two properties of modern banks. First, modern banks are exposed to risk not only through traditional ownership of risk assets (loans and securities) but also through their trading books, and in particular their positions from making markets in derivatives. The research team will develop a new approach to measure these risk exposures that uses regulatory data and the dynamics of interest rates. A second key property of modern banks is that they, along with other intermediaries such as financial clearinghouses, offer payment services to clients. The clients include households, firms, and institution investors such as broker-dealers and asset managers. Existing models of business cycles and asset prices do not typically include these payment services. The team will develop a model of the economy that includes such services and will use the model to quantify how inflation and asset prices respond to monetary policy and economic shocks. The research funded by this award will give policy makers and regulators new tools and models to predict the effects of economic policies.Existing approaches to the measurement of this risk using regulatory or stock market data have not been able to compare time variation in risk across positions. For example, the measures cannot be used to determine whether derivative positions hedge other business. In practice regulators therefore rely on stress tests. The new approach exploits the factor structure in interest rates to represent many bank positions (including derivatives) in terms of simple factor portfolios. A transparent algorithm delivers, for every bank position and every date, exposure numbers that are comparable across dates, banks, and positions. The second project builds a dynamic equilibrium model in which goods and services are paid for with inside money provided by banks or clearinghouses. The model jointly determines asset prices and inflation as well as the volume of payments. The model includes data on payments and bank positions and uses the data to make quantitative predictions.