Collaborative Research: Public and Private Debt Crises: Quantitative Macroeconomic Models and Policy Implications

合作研究：公共和私人债务危机：定量宏观经济模型和政策含义

• 批准号: 1560906
• 负责人: Javier Bianchi
• 金额: $ 5.95万
• 依托单位: National Bureau of Economic Research Inc
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 2015
• 资助国家: 美国
• 起止时间: 2015-08-01 至 2017-08-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=1560906&HistoricalAwards=false
• 关键词: Collaborative; Research; Public; Private; Debt

AbstractTitle: Collaborative Research--Public and Private Debt Crises: Quantitative Macroeconomic Models and Policy Implications Principal Investigator: Enrique G. MendozaInstitution: University of PennsylvaniaProposal # SES-1325122AbstractThe financial crisis that exploded in 2008 and triggered the deepest recession since the Great Depression was preceded by an explosion in private sector credit unprecedented in modern U.S. economic history. The Flow of Funds dataset of the Federal Reserve show that the net indebtedness of U.S. households hovered around 1/3rd of GDP from the end of World War II until the mid 1990s. By the end of 2007, however, U.S. household debt more than doubled to about 70 percent of GDP. It is well known that this huge credit expansion fueled a boom in housing prices. The market value of residential land rose from about 48 percent of GDP in the mid 1990s to 75 percent of GDP in 2006 . Moreover, households became highly leveraged, because their debts measured as a ratio of the value of residential land rose from about 2/3rds in the mid 1990s to above 1 just before the crash. Financial intermediaries also became highly leveraged in newly-created complex instruments that were facilitating the expansion of credit.The macroeconomic implications of the collapse of the U.S. credit boom were dramatic both at home and abroad. The world economy suffered a deep recession, a surge in unemployment, and a collapse in global trade. Moreover, governments in most industrial countries embarked in large programs of financial stabilization and fiscal stimulus that worsened their financial positions sharply. In the United States, the net debt of the government experienced its third largest surge (in terms of one-year increments) since the creation of U.S. federal debt in 1790. The net debt-GDP ratio rose from about 36 percent in 2007 to about 68 percent in 2011. This surge in debt ranks below those observed in the two World Wars but is larger than those observed in the Civil War and the Great Depression. Similarly, in Europe, the countries that in the hot zone of the ongoing debt crisis (Greece, Ireland, Italy, Spain and Portugal) experienced surges in public debt of about 30 percentage points of weighted GDP, and even those that are not in a debt crisis saw their public debt surge by about half as much (Germany, France, and the Netherlands).The above statistics paint a dramatic picture of a historic credit boom that went bust with dramatic consequences for both the private sector and the government. In addition, the historical record shows that this pattern is often what we observe in the unwinding of large credit booms. The research funded by this proposal focuses on developing transformative quantitative macroeconomic models that can help us understand the causes of these private and public debt crises as well as their macroeconomic implications, and on using these models to develop strategies of economic policy aimed at preventing and managing these crises.This research program is divided into three projects. Two have to do with private debt crises and the third has to do with public debt crises. The two projects on private debt crises relate to a key policy strategy that many central bankers, including Federal Reserve chairman Ben Bernanke, have put at the forefront of the policy strategy to prevent financial crises: Macro-prudential financial regulation. The goals of this policy are to concentrate on the systemic links that connect intermediaries across the financial system and the financial system with the economy as a whole, and to use policy instruments to "cool off" credit markets in the early stages of credit booms in order to defuse them. The challenges are to be able to characterize a credit boom separately from a regular cyclical expansion of credit or the underlying trends of credit growth driven by financial development, and to construct manageable policy tools that can provide the right incentives to financial markets in order to accomplish the desired goals.The two projects on macro-prudential regulation included in this proposal start from the premise that, because borrowing capacity in modern credit markets is linked to the market values of incomes or assets on which credit contracts are anchored, borrowing decisions are distorted by what is referred to as a pecuniary externality. In particular, individual borrowing decisions made in "good times" fail to internalize how a collapse of asset prices (e.g. housing, mortgage backed securities, etc) will induce a severe credit crunch in the event of a financial crisis in the future. The goals are: First, to evaluate whether models in which this externality is present can actually explain key features of actual financial crises. Second, to analyze the effectiveness of macroprudential policies, broadly defined as policies seeking to alter decisions in credit markets in normal times so as to make financial crises less frequent and less severe. These policies include, for example taxes on debt, capital requirements, and limits on loan-to-value or leverage ratios. The aim is to study these issues in two classes of models. One class is the "representative agent" setup, in which the characteristics of particular borrowers are not considered, but the mechanism driving the macro-financial meltdown and the use of policy tools to counter the pecuniary externality in prudential fashion are both fleshed out clearly. The second class includes models in which we take into account the heterogeneity of borrowers, in particular their individual features in terms of debt exposure and employment status.The project on public debt crises undertakes a major revamping of macroeconomic analysis of sovereign debt crises. The majority of the existing models about this issue deal with the possibility of default by a sovereign on foreign creditors. Yet, the debt crisis in the Eurozone and the precarious fiscal prospects of other industrial countries (e.g. Japan, the United Kingdom and the United States) raise the possibility that default may actually affect domestic creditors. Strikingly, Reinhart and Rogoff noted in their celebrated 2008 book that, while there is worldwide historical evidence of outright defaults (i.e. by means other than de facto default via inflation) on domestic public debt by governments, there are hardly any macroeconomic models that can help us explain this phenomenon. Observing the debates surrounding the Eurozone debt crisis and the growing U.S. public debt ratio, three key issues are given a central role: The distributional implications of a restructuring of public debt, the effects of a public debt crisis on the ability of the government to access credit markets to conduct countercyclical fiscal policy, and the serious damage that a domestic public debt default can do to private financial markets (where public debt is the anchor asset). The public debt crises analysis proposed under this project incorporates all three of these features, and studies how the optimal tradeoff of their costs and benefits can explain why governments build up large domestic debt ratios and default infrequently, but with non-zero probability, in the long run.

摘要网络：协作研究 - 公共和私人债务危机：量化宏观经济模型和政策意义主要研究者：Enrique G. Mendozainstitution：宾夕法尼亚大学＃SES-13251222ABSSABSTRAPS ABSTRACT爆炸的财务危机以自2008年爆发并触发了自己的私人案例，并触发了私人案例，并触发了私人的兴趣，这是因为他们在2008年爆发了疾病，并触发了疾病的兴趣。现代美国经济历史。美联储的资金数据集的流量表明，从第二次世界大战结束到1990年代中期，美国家庭的净债务徘徊在GDP的1/3左右。但是，到2007年底，美国的家庭债务增加了一倍以上，约占GDP的70％。众所周知，这种巨大的信贷扩张促成了房价的繁荣。住宅土地的市场价值从1990年代中期的GDP的约48％增加到2006年GDP的75％。此外，家庭变得高度杠杆化，因为他们的债务以住宅土地价值的比率从1990年代中期的大约2/3升至坠机发生前的1上以上。金融中介机构还高度杠杆化了新创建的复杂工具，这些工具促进了信贷的扩大。美国信贷繁荣的宏观经济含义在国内外都是戏剧性的。世界经济遭受了深深的衰退，失业的激增以及全球贸易的崩溃。此外，大多数工业国家的各国政府都采用了大型的金融稳定和财政刺激计划，这使他们的财务状况急剧恶化。在美国，自1790年美国联邦债务以来，政府的净债务经历了其第三大激增（以一年的增长而言）。净债务GDP比率从2007年的36％上升到2011年的约68％。债务排名的增长低于两次世界战争，但在两次世界战争中比内战和强烈的抑郁症中的债务更大。同样，在欧洲，在持续债务危机炎热区（希腊，爱尔兰，意大利，西班牙和葡萄牙）的国家经历了约30个百分点的加权GDP的30个百分点，甚至那些没有债务危机的人甚至没有在公共债务中涌现了一半（德国，法国，法国和野蛮的企业，都在一定的庞大企业中，这是一场富有众多的景点。私营部门和政府的后果。此外，历史记录表明，这种模式通常是我们在放松大型信贷繁荣时所观察到的。该提案资助的研究重点是开发变革性的定量宏观经济模型，这些模型可以帮助我们了解这些私人和公共债务危机的原因以及它们的宏观经济含义，并利用这些模型来制定旨在防止和管理这些危机的经济政策策略。这些研究计划分为三个项目。两个与私人债务危机有关，第三个与公共债务危机有关。关于私人债务危机的两个项目与包括美联储董事长本·伯南克在内的许多中央银行家的关键政策战略有关，这是预防金融危机的政策战略的最前沿：宏观宣传金融监管。该政策的目标是集中于将整个金融系统中的中介和金融体系与整个经济联系起来的系统联系，并使用政策工具在信贷繁荣的早期阶段“冷静”信贷市场，以便对它们进行削弱。 The challenges are to be able to characterize a credit boom separately from a regular cyclical expansion of credit or the underlying trends of credit growth driven by financial development, and to construct manageable policy tools that can provide the right incentives to financial markets in order to accomplish the desired goals.The two projects on macro-prudential regulation included in this proposal start from the premise that, because borrowing capacity in modern credit markets is linked to the market values of incomes or assets在哪些信用合同上锚定，借贷决定被称为金钱外部性的决定扭曲。特别是，在“好时期”中做出的个人借贷决定无法内部化资产价格的崩溃（例如住房，抵押支持证券等）将在未来发生金融危机的情况下引起严重的信贷紧缩。目标是：首先，评估存在这种外部性的模型是否可以真正解释实际金融危机的关键特征。其次，要分析宏观审慎政策的有效性，该政策被广义地定义为寻求在正常时期改变信贷市场的决策的政策，以使金融危机不那么频繁且严重。这些政策包括，例如，债务税，资本要求以及贷款价值或杠杆比率的限制。目的是在两类模型中研究这些问题。一个类是“代表性代理”设置，其中不考虑特定借款人的特征，而是驱动宏观金融崩溃的机制，并且使用策略工具以审慎的方式对抗金钱外部性。第二类包括我们考虑到借款人的异质性的模型，尤其是他们在债务敞口和就业状况方面的个人特征。公共债务危机项目对主权债务危机的宏观经济分析进行了重大改进。有关此问题的大多数模型都涉及对外国债权人主权的违约可能性。然而，欧元区的债务危机以及其他工业国家（例如日本，英国和美国）的不稳定财政前景提出了违约实际上可能影响国内债权人的可能性。令人惊讶的是，莱因哈特（Reinhart）和罗戈夫（Rogoff）在其2008年著名的书中指出，尽管世界各地有违约的历史证据（即通过违约除外，除非通过通货膨胀通过通货膨胀违约）对政府的国内债务，但几乎没有任何宏观经济模型可以帮助我们解释这一现象。观察围绕欧元区债务危机和美国公共债务比率不断增长的辩论，给出了三个关键问题：重组公共债务的分配含义，公共债务危机对政府访问信贷市场的能力的影响，对反周期性的财政政策的能力以及对国内债务违规的严重损害，国内债务违规对私人债务违规的影响可以与私人金融市场相关（公共债务，公共债务都可以成为公众债务。该项目下提出的公共债务危机分析纳入了所有这三个功能，并研究了其成本和收益的最佳权衡如何解释为什么政府建立较大的国内债务比率和违约，但从长远来看，违约的可能性很高。