风险周期对商业周期的影响：历史观点（英）

BoardofGovernorsoftheFederalReserveSystemInternationalFinanceDiscussionPapers ISSN1073-2500(Print) ISSN2767-4509(Online) Number1358 September2022 Theimpactofriskcyclesonbusinesscycles:ahistoricalview JonDanielsson,MarcelaValenzuela,andIlknurZer Pleasecitethispaperas: Danielsson,Jon,MarcelaValenzuela,andIlknurZer(2022).“Theimpactofriskcyclesonbusinesscycles:ahistoricalview,”InternationalFinanceDiscussionPa-pers1358.Washington:BoardofGovernorsoftheFederalReserveSystem,https://doi.org/10.17016/IFDP.2022.1358. NOTE:InternationalFinanceDiscussionPapers(IFDPs)arepreliminarymaterialscirculatedtostimu-latediscussionandcriticalcomment.TheanalysisandconclusionssetfortharethoseoftheauthorsanddonotindicateconcurrencebyothermembersoftheresearchstaffortheBoardofGovernors.ReferencesinpublicationstotheInternationalFinanceDiscussionPapersSeries(otherthanacknowledgement)shouldbeclearedwiththeauthor(s)toprotectthetentativecharacterofthesepapers.RecentIFDPsareavailableontheWebatwww.federalreserve.gov/pubs/ifdp/.ThispapercanbedownloadedwithoutchargefromtheSocialScienceResearchNetworkelectroniclibraryatwww.ssrn.com. Theimpactofriskcyclesonbusinesscycles:ahistoricalview∗ J´onDan´ıelssonMarcelaValenzuelaIlknurZer August2022 Abstract Weinvestigatetheeffectsoffinancialriskcyclesonbusinesscycles,usingapanelspanning73countriessince1900.AgentsuseaBayesianlearningmodeltoformtheirbeliefsonrisk.Weconstructaproxyofthesebeliefsandshowthatperceivedlowriskencouragesrisk-taking,augmentinggrowthatthecostofaccumulatingfinancialvulnerabilities,andtherefore,areversalingrowthfollows.Thereversalisparticularlypronouncedwhenthelow-riskenvironmentpersistsandcreditgrowthisexcessive.Global-riskcycleshaveastrongereffectongrowththanlocal-riskcyclesviatheirimpactoncapitalflows,investment,anddebt-issuerquality. Keywords:Stockmarketvolatility,uncertainty,monetarypolicyindepen-dence,financialinstability,risk-taking,globalfinancialcycles JELclassification:F30,F44,G15,G18,N10,N20 ∗Correspondingauthor:IlknurZer.FederalReserveBoard,WashingtonDC,20007,USA.ilknur.zerboudet@frb.gov.JonDanielssonisattheLondonSchoolofEconomics(LSE)andthe directoroftheSystemicRiskCentreatLSE.MarcelaValenzuelaisattheSchoolofManage-ment,PontificiaUniversidadCat´olicadeChile.WethankAlejandroBernales,NelsonCamanho,AlessandroRebucci,ConsueloSilva,AndreasUthemann,Cristi´anVa´squez,andJean-PierreZi-grand,aswellasseminarparticipantsintheNovaSchoolofBusinessandEconomics,BancodePortugal,BanquedeFrance,FederalReserveBoard,IMFMacro-FinancialResearchDivision,UniversityofCyprus,PontificiaUniversidadCat´olicadeChile,andAdolfoIba´n˜ezUniversity,theEuropeanEconomicAssociationmeeting,andtheEuropeanFinancialManagementAssociationmeetings(GARPRiskManagementAward,2022)forvaluablecomments.AlessandroDeTraneprovidedexcellentresearchassistance.PhilippAd¨ammerwrotetheLPIRFSRpackageweusedintheanalysis(Ad¨ammer,2019).DanielssonthankstheEconomicandSocialResearchCouncil(UnitedKingdom)[grantnumber:ES/K002309/1]foritssupport.ValenzuelaacknowledgesthesupportofFondecytProjectNo.1190477andInstitutoMilenioICMIS130002.TheviewsinthispaperaresolelythoseoftheauthorsandshouldnotbeinterpretedasreflectingtheviewsoftheBoardofGovernorsoftheFederalReserveSystemoranyotherpersonassociatedwiththeFederalReserveSystem. 1Introduction Theglobalfinancialcrisisin2008remindedusoftheimportanceofthefinancialsectorforthemacroeconomy,alessonmanyhadforgotteninthedecadesafterthepreviousglobalcrisis,theGreatDepression.Financialriskmatters.Itisnecessaryforinvestmentandgrowthbutalsodrivesuncertainty,inefficiency,recessions,andcrises.Whiletheinterplaybetweenfinancialriskandmacroeconomyiscomplex,ourinterestinthisworkisononeparticulardimension:howeconomicagents’perceptionoffinancialriskaffectsbusinesscycles.Werefertothemapofrisesandfallsinagents’perceptionofriskastheriskcycleandinvestigatehowfinancialriskcycles,obtainedfrommarketpricesandspanning73countriessince1900,affectbusinesscycles. Whiletheobviouswaytoproceedempiricallywouldbetosimplymodeltheimpactofriskmeasurementsoneconomicgrowth,thereisanimportantnuancethatcanonlybecapturedbyseparatingperiodsofhighriskfromlowrisk.Ashighriskischaracterizedbyhighuncertainty,itisdetrimentaltoeconomicgrowth,inpart,becauseitincreasestherealoptionvalueofdelayinginvestments(DixitandPindyck,1994;Bloom,2009;Bloometal.,2018;Pfluegeretal.,2020).Ifhighriskisdetrimentaltogrowth,onemightthereforeexpectlowrisktobesimilarlybeneficial.Wehypothesizethatitis,butonlyintheshortrun.Astimepasses,areversaloftheimpactongrowthbecomesincreasinglylikely—whatwetermtheboom-to-busteffectoflowriskonbusinesscycles. Whileseveralfactorsmightaccountforhowlowriskaffectsgrowth,wesurmisethattheinabilitytomeasureriskaccuratelyandtheevolutionoffinanciallever-ageplayaparticularlylargerole.Riskisalatentvariable,soonecanonlyuseamodeltoestimateit,implyingallriskmeasurementsareinaccurate.Conse-quently,thedegreeofeconomicagents’beliefsinwhetherriskishighorlowisofcrucialimportancetothem.Inoursetting,theagents’riskbeliefsarereinforcedbythemlearningfromrepea