'An analysis of the interrelationship between credit market dynamics and macroeconomic fluctuations'

本研究计划旨在回答4个研究问题。第一个问题是，信贷价格和数量的波动是由供给驱动还是由需求驱动。信贷供应冲击是推动宏观经济波动的一个重要因素，这一观点在2007/8年危机之后成为一种普遍观点，并在随后的政策回应中起到了很大作用。然而，认为信贷价格和数量波动主要是由供给驱动的观点受到质疑。第二个问题是，整个金融业是否寻求杠杆最大化。金融机构在风险价值约束下（即在给定概率水平上的最大潜在损失）寻求杠杆最大化的观点已经成为模拟信贷供应冲击的一种重要方式。然而，金融部门作为一个整体以这种方式行事的证据并不明确。第三个问题是，将不确定性纳入风险价值模型可能会如何影响金融部门的行为。风险（可能结果的分布是已知的）和不确定性（分布是未知的）之间的区别可能为描述金融部门的行为提供额外的见解。第四个问题是将保险纳入风险价值模型的含义是什么。这种保险既可以采取明确的交易对手保险（如信用违约互换）的形式，也可以采取隐性国家支持（如信用违约互换）的形式。“大到不能倒”)。希望这些研究问题的答案将为宏观审慎和货币政策提供有用的见解。

This research proposal seeks to answer 4 research questions. The first question is whether fluctuations inthe price and quantity of credit are supply driven or demand driven. The view that shocks to credit supplyare an important factor driving macroeconomic fluctuations became a prevalent view following the crisis of2007/8 and informed much of the subsequent policy response. However, the view that fluctuations in theprice and quantity of credit are primarily supply driven is contested. The second question is whether thefinancial sector as a whole seeks to maximise leverage. The view that financial institutions seek tomaximise leverage subject to a Value-at-Risk constraint (i.e. subject to a maximum potential loss at agiven probability level) has become a prominent way to model credit supply shocks. However, evidencethat the financial sector as a whole behaves in this way is not clear-cut. The third question is howincorporating uncertainty into Value-at-Risk models may affect financial sector behaviour. The distinctionbetween risk (where the distribution of possible outcomes is known) and uncertainty (where thedistribution is not known) may provide additional insight with which to characterise financial sectorbehaviour. The fourth question is what are the implications of incorporating insurance into value-at-riskmodels. This insurance may either take the form of explicit counterparty insurance (e.g. credit defaultswaps) of the form of implicit state backing (e.g. 'too big to fail'). It is hoped that the answers to theseresearch questions will provide useful insights for macroprudential and monetary policy.