原CCER曾志雄老师的一篇近作,关于金融中介摩擦和非传统货币政策(unconventional monetary policy),发表于 Economic Theory。
传统宏观模型大多忽略金融摩擦,而考虑到了金融摩擦的宏观模型也只研究了厂商和银行等金融中介之间的借贷关系中的摩擦。曾老师的论文在宏观和货币政策模型中引入了金融中介和投资者(最终的可贷资金提供者)之间的非对称信息问题。本次全球金融危机凸现了这种摩擦的重要性。
论文链接:
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1929119
摘要:The unconventional monetary policy actions of the Federal Reserve during the recent Global Financial Crisis often involve implicit subsidies to banks. This paper offers a theory of the non-neutrality of money associated with capital injection into banks via nominal transfers, in an environment where banking frictions are present in the sense that there exists an agency problem between banks and their private-sector creditors. The analysis is conducted within a general equilibrium setting with two-sided financial contracting. We first show that even with perfect nominal flexibility, the recapitalization policy has real effects on the economy. We then introduce banking riskiness shocks and study optimal policy responses to such shocks.
关键词:Bankruptcy of banks; banking riskiness shocks; two-sided debt contract; unconventional monetary policy; financial crisis.
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