學(xué)術(shù)信息
學(xué)術(shù)講座：內(nèi)生流動性與金融中介
日期：2017-05-31 | 訪問量：
學(xué)術(shù)講座：內(nèi)生流動性與金融中介
題目：Endogenous Liquidity and Financial Intermediation 時間：2017年6月6日中午12:20 地點：博學(xué)925 摘要：貨幣經(jīng)濟學(xué)里有名的兩條準則-弗里德曼準則和泰勒準則-提出不一致的政策建議。我們認為它們都不能給利率的作用和法定貨幣提供充足的理論奠基。本課題運用動態(tài)隨機均衡模型研究銀行體系的貨幣創(chuàng)造機制。在沒有借助價格粘性假設(shè)和泰勒準則的條件下，我們創(chuàng)新地證明了貨幣在短期和長期的“非中性”，并建立了絕對價格體系。本課題的研究認為，銀行資本金是貨幣創(chuàng)造的結(jié)果，這一發(fā)現(xiàn)為貨幣政策和金融監(jiān)管的協(xié)調(diào)以及建立逆經(jīng)濟周期的銀行資本金緩沖機制提供了理論依據(jù)。研究發(fā)現(xiàn)，在弗里德曼準則下的經(jīng)濟帕累托最優(yōu)在貨幣經(jīng)濟體的環(huán)境下不可能存在，因為銀行系統(tǒng)需要有正利率創(chuàng)造法定貨幣的信譽。我們將根據(jù)上述理論成果，進一步研究在近利率零下限的情況下，銀行特許權(quán)的動態(tài)波動情況以及其對實體經(jīng)濟的潛在打擊。 Abstract: Two most celebrated rules in monetary economics, the Friedman rule and the Taylor rule, provide contradictory policy prescriptions. We argue neither of these rules offers a sufficient theoretical foundation for the role of interest rate and fiat money. This paper builds a novel Dynamic Stochastic General Equilibrium model to integrate endogenous liquidity creation with financial intermediation simply by recognising money as an outcome of financing. Without appealing to nominal rigidities and the Taylor rule, we achieve money non-neutrality in both the short run and long run and price level determinacy. Bank capital turns out to be "trapped money", a consequence of money creation, providing insight into the coordination between monetary policy and bank capital regulation. We find that monetary policy needs to be active while bank capital regulation needs to be accommodative for welfare improvement. We also investigate banks' credibility in a Ramsey framework. We find that first-best allocation under the Friedman rule can not be achieved because banks needs a positive interest rate to establish the commitment power of fiat money. The optimal interest rate balances the trade-off between improving the real allocation and establishing banks' credibility. Using our framework, we are able to assess the perils of Zero Lower Bound (ZLB) environment to banks' franchise value and fiat money's commitment power. A prolonged period of ZLB may shift the economy to a much lower long-term equilibrium. 演講人簡介：王軒是英國牛津大學(xué)賽德商學(xué)院金融經(jīng)濟學(xué)的博士二年級學(xué)生。現(xiàn)任牛津大學(xué)莫德林學(xué)院經(jīng)濟學(xué)講師，牛津大學(xué)商學(xué)院和經(jīng)濟系研究生教學(xué)助理。本科畢業(yè)于對外經(jīng)濟貿(mào)易大學(xué)金融學(xué)院，碩士以Distinction的成績畢業(yè)于牛津大學(xué)經(jīng)濟系。主要致力于貨幣經(jīng)濟學(xué)貨幣創(chuàng)造機制的研究，對資產(chǎn)定價理論也頗有興趣。王軒之前任職于英格蘭銀行。