Risk Markets Imbalances and Macroeconomics

本项目探讨风险资产的需求和供给的变化以及它们之间的不平衡（风险市场不平衡）如何影响宏观经济结果。本研究从这一角度考虑有效的宏观经济政策。这项研究在最近的低利率环境中具有高度相关性，因为货币政策历来是防止严重风险市场冲击蔓延到真实的经济的最直接工具。当利率低时，传统的政策是无效的。此外，低利率环境鼓励投机泡沫和高收益投资模式，使经济更加脆弱。这些现象和对它们的政策反应影响到全球经济，需要国际协调的反应。这项研究将产生新的分析工具，以整合金融和宏观经济分析。它还将通过考虑风险市场失衡对真实的经济的影响，探讨对宏观经济结果的最佳政策反应。该项目研究了风险冲击和货币政策约束在产生经济波动方面的相互作用，金融投机及其驱动因素在加剧这些波动严重性方面的作用，以及针对这种环境的最佳联合货币，财政和宏观审慎政策框架。具体而言，该研究考察了利率零下限（ZLB）的风险规避事件，其中包含更广泛的约束条件，包括政治经济问题。该研究还将从理论和经验两方面探讨杠杆的作用及其如何应对不同的政策框架。该项目进一步将投机泡沫和行为要素纳入这一框架。在国际方面，研究将开发和测试全球和本地风险规避事件期间总资本流动和汇率变动的模型。该项目将探索在低利率环境下应对全球周期的最佳国际协调机制。该奖项反映了NSF的法定使命，并通过使用基金会的知识价值和更广泛的影响审查标准进行评估，被认为值得支持。

Abstract This project explores how changes in the demand and supply for risky assets and the imbalance between them (risk-market imbalances) affect macroeconomic outcomes. The research then considers efficient macroeconomic policy from this perspective. This research is highly relevant in the recent low interest rate environment, as monetary policy has historically been the most direct tool to prevent severe risk-markets shocks from spilling over to the real economy. When interest rates are low, traditional policies are ineffective. Furthermore, a low interest rate environment encourages speculative bubbles and high yield investment patterns that make the economy more vulnerable. These phenomena and policy responses to them impact the global economy and require an internationally coordinated response. This research will generate new analytical tools to integrate financial and macroeconomic analysis. It will also explore optimal policy responses to macroeconomic outcomes by considering the impact of risk-market imbalances on the real economy. This project examines the interactions between risk-shocks and constraints on monetary policy in generating economic fluctuations, the role of financial speculation and its drivers in exacerbating the severity of these fluctuations, and the optimal joint monetary, fiscal, and macroprudential policy framework for this environment. Specifically, the research examines risk-off episodes with a zero-lower bound (ZLB) on interest rates that incorporates a broader set of constraints, including political economy concerns. The research will also explore, both theoretically and empirically, the role of leverage and how it responds to different policy frameworks. The project further incorporates speculative bubbles and behavioral elements in this framework. On the international front, the research will develop and test models of gross capital flows and exchange rate movements during both global and local risk-off episodes. The project will then explore optimal international coordination mechanisms to deal with global cycles in a low interest rate environment.This award reflects NSF's statutory mission and has been deemed worthy of support through evaluation using the Foundation's intellectual merit and broader impacts review criteria.