The Balance Sheet Effect and Monetary Policy

在本课题中，为了弄清在什么样的情况和机制下会发生危机，并提出应对危机的货币政策应该采取什么样的货币政策，对近年来被强调为货币危机的原因的资产负债表效应进行了详细的考察和分析。首先，对所谓的第一代模型和第二代模型进行了详细的考察。并确认了这些模型固有的局限性，然后检查了第三代模型。在后两种模型中，充分认识到前两种模型的局限性和不足，金融机构的道德风险问题，政府救助问题，金融机构的脆弱性，企业资产负债表的恶化，本文通过对拉美六个国家的实证研究，对拉美国家的资产负债表效应进行了分析国家（Co ...更多信息 哥伦比亚、巴西、秘鲁、智利、墨西哥和阿根廷）。由于数据的限制，我发现建立资产负债表的存在并不是一件容易的事情。资产负债表效应很可能导致货币危机爆发。一旦危机爆发，如果货币当局采取限制性政策作为应对措施，会出现两种相互矛盾的观点：一种是所谓的正统观点，认为限制性政策具有使经济恢复的预期效果;另一种是反常观点，认为限制性政策使经济进一步远离复苏，甚至更糟。我在一个简单的跨期优化模型中，通过真实的部门和资产部门之间的相互作用，研究了哪种观点是正确的，以及在什么条件下，反常的观点可能是正确的。由于几个外部冲击，我澄清说，在某些条件下，危机可能是过度贬值的汇率和产量大幅下降。此外，在这些危机情况下，我可以证明，在某些情况下，如果货币当局采取限制性货币政策，反常观点会预测。少

In this project I started to examine and analyze the Balance Sheet Effect in detail which has been emphasized as the causal factor of currency crises in the recent literature, with an aim to find out under what situations and mechanisms crises erupt, and to propose what kid of monetary policy should be appropriate to deal with crises.First, I closely examined the so-called the first generation model and the second generation models. and confirmed the limitations inherent to those models, and then examined the third generation model. In the latter models, with full recognition of the limitations and deficiencies of the former two models, the moral hazard problems on the financial institutions, the rescue problems on the government side fragility of the financial institutions, deterioration of the balance sheet on the firms, etc. have been emphasized as causal factors of crises.The Balance Sheet Effects were examined by scrutinize empirical researches for six Latin American countries (Co … More lumbia, Brazil, Peru, Chile, Mexico, and Argentina). Due to data restrictions I found that it was not an easy task to establish the existence of the Balance Sheet. Effects in those countries.With the Balance Sheet Effects it is likely that a currency crisis erupts. Once the crisis erupts, and if the monetary authorities adopt a restrictive policy as a counter measure, two contradictory views have been offered : one is the so-called orthodox view, in which the restrictive policy has an intended effect to bring the economy back to the recover process and the other is the perverse view, in which such a policy makes the economy further away from recovery and even worse. I examined which view is correct and under what conditions the perverse view is likely within a simple, intertemporal optimization model by an interaction between the real sector and the asset sector. Due to several exogenous shocks I clarified that under certain conditions a crisis may be likely with an excessive depreciation of the exchange rate and a large fall in the output. Furthermore, in those crisis situations, I could show that there are cases in which the perverse view predicts if the monetary authorities adopt restrictive monetary policy. Less