金融中介流动性的宏观经济学（英）

DavidePorcellacchia,KevinD.Sheedy WorkingPaperSeries Themacroeconomicsofliquidityinfinancialintermediation No2939 Disclaimer:ThispapershouldnotbereportedasrepresentingtheviewsoftheEuropeanCentralBank(ECB).TheviewsexpressedarethoseoftheauthorsanddonotnecessarilyreflectthoseoftheECB. Abstract Infinancialcrises,thepremiumonliquidassetssuchasUSTreasuriesincreasesalongsidecreditspreads.Thispaperexplainsthelinkbetweentheliquiditypremiumandspreads.Wepresentatheoryofendogenousbankfragilityarisingfromacoordinationfrictionamongbankcreditors.Thetheory’simplicationsreducetoasingleconstraintonbanks,whichisembeddedinaquantitativemacroeconomicmodeltoinvestigatethetransmissionofshockstospreadsandeconomicactivity.Shocksthatreducebanknetworthexacerbatethecoordinationfriction.Inresponse,bankslendlessanddemandmoreliquidassets.Thisdrivesupbothcreditspreadsandtheliquiditypremium.Bymitigatingthecoordinationfriction,expansionsofpublicliquidityreducespreadsandboosttheeconomy.Empirically,weidentifyhigh-frequencyexogenousvariationinliquiditybyexploitingthetimelagbe-tweenauctionandissuanceofUSTreasuries.Wefindacausaleffectonspreadsinlinewiththecalibratedmodel. Keywords:bankruns,bank-lendingchannel,liquidassets. JELCodes:E41,E44,E51,G01,G21. Non-technicalsummary Intimesoffinancialstress,banksfindithardtofundthemselvesandcreditbecomesmoreexpensive.Thispaperdocumentsthatfinancialturmoilisalsoassociatedwithanincreaseinthepremiumonliquidassets,suchasUSTreasuryBills.Whydoesthevalueofliquidassetsgoupwhencreditistight?Theanswertothisquestionhasimplicationsfortheeffectivenessofexpansionsinliquid-assetsupply,afrequently-deployedpolicyresponsetofinancialstress.Toanswerit,wedevelopanovelfinancialfrictionexplainingthisempiricalrelationship.Then,weembeditinastandardmacroeconomicmodeltostudyimplicationsfortheeconomyandpolicy. Maturitytransformation,akeyfunctionoffinancialintermediation,resultsinamismatchonbanks’balancesheets.Thiscreatestheconditionsforcoordinationfailuresintheformof“runs”bypanickedcreditors.Thepotentialforrunsleadsinvestorstopricerunriskinthedebtofintermediaries.Becauserunsareself-fulfillingphenomena,itisdifficulttopindowntheriskofruns.Todothis,wedepartfromtheassumptionofcommonknowledgeacrossbankcreditors,acommonapproachtolimittheirabilitytocoordinateonarbitrarybehaviour.Withthis,wefindthattheintensityofthefrictiondependsonbankbalance-sheetfundamentals.Inparticular,bankscanmitigaterunriskbyholdingmoreliquidassetsorbyhavingmorenetworth(i.e.,equity).Thus,ifashockreducestheirnetworth,banksdemandmoreliquidassetstokeeptheirrunriskincheck.Thisfrictiongeneratesacountercyclicalliquiditypremium. Withthecoordinationfrictionembeddedinastandardrealbusinesscyclemodel,wecanstudyitsrolequantitativelyinthetransmissionofmacroeconomicshocksandpolicy.Thefrictionamplifiesshocks:abadshockthatreducesbanks’networthincreasesbanks’fundingcostsonaccountofheightenedrunrisk.Higherbankfundingcostsreducethesupplyofcreditandtherebydrivedowninvestment.Moreover,thefrictionpropagatesshocksthroughtimebymakingitharderforbankstomakeprofitsandthusaccumulatenetworth. Themodel’sliquidassets,definedasassetsthatkeeptheirvalueincaseofasystemicfinancialcrisis,arethemonetaryandfiscalliabilitiesofthegovernment.Anincreaseinthesupplyofliquidassetscrowdsinprivateinvestmentbyexpandingcreditsupply.Thisisbecausebanksholdtheadditionalliquidassets,andtheresultingreductioninrunriskisreflectedinbetterfundingtermsforbanks. Therealeffectsofliquiditysupplyimplythatitcanbeusedasastabilizingtoolinthefaceofshocks.Ifthegovernmentrespondstodisruptionstofinancialintermediationby accommodatingtheincreaseddemandforliquidassets,itcandampentheamplificationofshocks. Finally,wetestthemodelempirically.Thekeyimplicationofthemodelisthatahighliquiditypremiumpushesupbank-fundingcosts.WeruntheanalysisatdailyfrequencyandusethequantityofUSTreasuriesoutstandingasaninstrumentfortheliquiditypremium.TheinstrumentispredeterminedatdailyfrequencyonaccountofthetimelagbetweenauctionandissuanceofUSTreasuriesandthereforeitisvalid.Withthiseconometricstrategy,wefindasignificantpositiveeffectoftheliquiditypremiumonbank-fundingcostswhichisquantitativelyinlinewiththecalibratedmodel. 1Introduction Disruptionstofinancialintermediationmakecreditmoreexpensiveandtherebyharmtheeconomy.Thispatternmotivatedtheintroductionofaspecificbankingfrictioninmacroeco-nomicmodels.Intheirseminalcontribution,GertlerandKiyotaki(2010)introduceaproblemofmoralhazardbetweenbanksandtheircreditors.Consequently,banks’abilitytofundthem-selvesislimitedbythevalueoftheirequity.Theresultingleverageconstraintleadstoapowerfulimpactofbanknetworthonmacroeconomicoutcomesviacreditspreads.Thisexplainsthegeneralobservationofplummetingbankvalues,higherbank-fundingcostsandincreasedcreditspreadsinfinancialcrises.1However,thisapproachtobankingissilentonwhyweobservesoaringdemandsforliquidityandhenceliquiditypremiumsintimesoffinancialstress. Weobserveaheightenedliquiditypremium,definedasthedifferencebetweenthe3-monthgeneral-collateralreporateandthe3-monthtreasury-billra