摘要:
This dissertation explores the importance of the financial sector for the propagation of macroeconomic shocks and for the conduct of monetary and fiscal policy. In the chapter entitled "Liquidity Risk and the Macroeconomic Costs of Financial Crises," I integrate a financial sector engaging in liquidity transformation into a New Keynesian dynamic stochastic general equilibrium model. The financial firms issue demandable debt against illiquid assets. Firms choose a mix of demandable and maturity-matched debt that optimally balances the lower interest rate on demandable debt against the rollover risk it introduces. Financial firms hold government debt as a reserve of liquid assets against the possibility of creditor withdrawals. An unexpected increase in rollover risk sparks a flight to quality that reduces money velocity and nominal interest rates on government debt. Liquidity transformation declines. The macroeconomic effects of adverse shocks to the financial sector are amplified, even relative to Bernanke, Gertler, and Gilchrist (1999). In contrast with the standard New Keynesian model, the central bank in my model can decrease the severity of the output decline by conducting open market purchases to increase the privately available supply of both money and government debt, relative to the supply of illiquid assets. In the chapter entitled "Financial Policy in a Liquidity Trap," my coauthor and I show that a policy of recapitalizing leverage-constrained capital producers reduces the severity of a liquidity trap or avoids one altogether. Recapitalization policy sharply dominates fiscal stimulus. Both policies allow the savings and investment market to equilibrate with a smaller fall in output and inflation, but fiscal stimulus discourages savings while recapitalization boosts investment. So, recapitalization leads to a faster recovery in output. The accelerated recovery increases future inflation, which lowers the real rate of interest inside the liquidity trap. We