The Origins of Financial Instability and Policy Responses

在一场重大金融危机发生几年后，金融不稳定仍在几个经济部门普遍存在。在欧洲，不良贷款仍然居高不下，特别是在意大利、西班牙和法国等国，这表明有关借款人的不完整信息和被高估的抵押品仍然需要纠正措施。正在实施各种宏观审慎措施，以控制信贷增长不稳定的出现。其次，银行业的脆弱性也很普遍，在许多国家，银行挤兑和银行违约仍然屡见不鲜。在此背景下，新的欧洲监管架构正在推进流动性监管的设计和实施，其有效性和可能的后果尚不清楚。除了信贷市场和传统银行业的不稳定之外，新的数字市场(尤其是加密货币市场)也带来了挑战，因为在许多情况下，它们表现出容易出现泡沫的动态。鉴于上述情况，本项目旨在研究金融市场不稳定的根源及其可能的预防措施，在三个经济领域，即家庭借贷决策--异质性可能会助长放大效应--银行部门，可能需要流动性监管的银行部门，以及新的数字市场(尤其是加密货币)，在这些市场，交易和价格往往更多地由活跃的投资者推动，而不是由基本面推动。虽然学术界一直认为，宏观经济模型缺乏关键因素来理解与金融方面的复杂互动，但政策制定者也呼吁建立新的模型来指导宏观审慎政策。在此背景下，在本项目中，我们重点构建模型，这些模型也可用于上述领域的政策分析。第一个目标是建立一个具有契约基础的信贷摩擦的异质代理人模型，以研究宏观审慎政策的分配后果。第二个子项目旨在建立一个宏观模型，让银行遭受挤兑，并与外部融资者签订最优合同协议，以评估流动性监管在遏制银行业恐慌方面的作用。第三个分项目旨在研究价格的决定因素和新的数字市场出现不稳定的条件。

Several years after a major financial crisis, financial instability is still pervasive in several sectors of the economy. In Europe non-performing loans are still high particularly in countries like Italy, Spain and France, indicating that incomplete information on borrowers and over-valued collateral still need corrective actions. Various macro-prudential measures are being implemented to control the emergence of instability on credit growth. Second, fragility in the banking sector is also pervasive whereby in many countries bank runs and bank defaults are still frequent. Against this background the new European supervisory architecture is advancing on the design and implementation of liquidity regulation, whose efficacy and possible consequences are still unknown. Beyond instability in credit markets and in the traditional banking sector, new digital markets (notably those for crypto-currencies) are posing challenges in that in many cases they exhibit bubble-prone dynamics. Given the above this project aims at examining the origins of financial market instability, and its possible prevention, in three sectors of the economy, namely in households’ borrowing decisions, whereby heterogeneity might foster amplifications, in the banking sector subject to bank runs, which possibly call for liquidity regulation, and in new digital markets (notably crypto-currencies) where trading and prices are often driven by exuberant investors more than by fundamentals. While on the academic side it has been argued that macroeconomic models lack key ingredients to understand the complex interaction with the financial side, policy makers also call for new models to guide macro-prudential policy. Against this background, in this project we focus on building models which can also be used for policy analysis in the above-mentioned areas. The first aims at building a heterogeneous agents model with contractually founded credit frictions to study the distributional consequences of macro-prudential policy. A second sub-project aims at building a macro model with banks subject to runs and holding optimal contractual agreements with outside financiers to assess the role of liquidity regulation in containing banking panics. A third sub-project aims at studying the determinants of prices and the conditions for the emergence of instability in new digital markets.