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学术讲座:内生流动性与金融中介

 

题目:Endogenous Liquidity and Financial Intermediation
时间:201766日中午12:20
地点:博学925
摘要:货币经济学里有名的两条准则-弗里德曼准则和泰勒准则-提出不一致的政策建议。我们认为它们都不能给利率的作用和法定货币提供充足的理论奠基。本课题运用动态随机均衡模型研究银行体系的货币创造机制。在没有借助价格粘性假设和泰勒准则的条件下,我们创新地证明了货币在短期和长期的非中性,并建立了绝对价格体系。本课题的研究认为,银行资本金是货币创造的结果,这一发现为货币政策和金融监管的协调以及建立逆经济周期的银行资本金缓冲机制提供了理论依据。研究发现,在弗里德曼准则下的经济帕累托最优在货币经济体的环境下不可能存在,因为银行系统需要有正利率创造法定货币的信誉。我们将根据上述理论成果,进一步研究在近利率零下限的情况下,银行特许权的动态波动情况以及其对实体经济的潜在打击。
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.
演讲人简介:王轩是英国牛津大学赛德商学院金融经济学的博士二年级学生。现任牛津大学莫德林学院经济学讲师,牛津大学商学院和经济系研究生教学助理。本科毕业于对外经济贸易大学金融学院,硕士以Distinction的成绩毕业于牛津大学经济系。主要致力于货币经济学货币创造机制的研究,对资产定价理论也颇有兴趣。王轩之前任职于英格兰银行。