2012年-IMF国际货币组织全球_Balance_26页_1mb

Summary of "Balance-Sheet Shocks and Recapitalizations"

Core Content

This working paper develops a dynamic stochastic general equilibrium (DSGE) model that incorporates financial frictions in both the financial sector and the real sector. The primary objective is to analyze the impact of balance-sheet shocks on aggregate output and to evaluate the welfare gains from recapitalization policies in response to large but rare net worth losses in the financial sector.

Main Viewpoints

• Financial sector shocks are more disruptive than real sector shocks due to the high leverage of financial intermediaries, which significantly reduces their ability to absorb large net worth losses.
• Recapitalization policies can yield substantial welfare gains, comparable to those from eliminating business cycle fluctuations.
• The welfare gains from recapitalization increase with the size of the net worth loss and are larger when funds are sourced from households rather than the real sector.
• Idiosyncratic risk affects the magnitude of financial frictions, and reducing it can lower leverage in the financial sector, which in turn increases economic resilience to financial shocks.
• The paper introduces a double layer of financial frictions, which allows for a more realistic assessment of the impact of wealth transfers between sectors and the effectiveness of recapitalization.

Key Information

Model Structure

The model is composed of three sectors:

• Household sector: A continuum of risk-averse workers who supply labor to real firms and deposit savings with financial intermediaries.
• Real sector: A continuum of competitive firms that invest in capital and labor, and are subject to idiosyncratic shocks.
• Financial sector: A continuum of financial intermediaries that borrow from households and lend to real firms, also subject to idiosyncratic shocks.

Financial Frictions

• Financial frictions are modeled using a costly state verification framework (Townsend, 1979), where entrepreneurs must monitor firms to verify their solvency.
• The borrowing spreads are determined by the difference between the lending and borrowing rates, which reflects the cost of financial frictions.
• Leverage is defined as the ratio of capital to equity and is optimized to maximize expected profits, taking into account the risk of default and the cost of borrowing.

Recapitalization Policies

• Recapitalization involves transferring funds from one sector to another to offset net worth losses.
• Recapitalizing the financial sector with household funds yields welfare gains equivalent to a 0.15% permanent increase in consumption.
• Even though recapitalizing the financial sector with real sector funds may seem counterproductive, it can still be welfare-enhancing due to the higher leverage of financial intermediaries.

Uncertainty and Idiosyncratic Risk

• Idiosyncratic risk influences the importance of financial frictions and thus the effectiveness of recapitalization.
• A reduction in idiosyncratic volatility can lower financial frictions but may also increase leverage in the financial sector, reducing resilience to shocks.
• The model's state space is defined by the aggregate net worth in the financial and real sectors and the risk-free deposit rate.

Calibration and Results

• The model is calibrated to U.S. data using quarterly frequency.
• Parameters are set to match leverage, risk spreads, and bankruptcy rates in the financial and real sectors.
• The steady-state values are shown in Table 1, with the financial sector having a higher leverage and lower bankruptcy rate than the real sector.
• The impact of net worth shocks is analyzed through impulse response functions, showing that shocks to the financial sector lead to larger GDP contractions.
• Welfare gains from recapitalization are shown in Figure 5, and they increase with the size of the shock and idiosyncratic risk.

Conclusion

The paper highlights the importance of recapitalization policies in mitigating the negative effects of balance-sheet shocks, especially in the financial sector. It shows that such policies can be as beneficial as countercyclical monetary and fiscal policies in stabilizing the economy. The model's double financial friction structure allows for a more nuanced understanding of sectoral interactions and the role of idiosyncratic risk in shaping the welfare outcomes of different policy interventions.

References

• The paper builds on earlier literature on financial frictions, including Carlstrom and Fuerst (1997), Bernanke, Gertler, and Gilchrist (1999), and Kiyotaki and Moore (1997).
• It also draws on recent work by Gilchrist et al. (2010), Quadrini and Jermann (2011), and Cúrdia and Woodford (2009), which has incorporated financial frictions into macroeconomic models.
• The model is solved using global solution methods, as the shocks are large enough to move the system significantly away from the steady state.

Figures and Tables

• Figure 1 summarizes the sequence of events in the model.
• Table 1 presents steady-state values and data targets, highlighting the differences in leverage, spreads, and bankruptcy rates between the financial and real sectors.

This paper provides a comprehensive framework for evaluating the economic impact of balance-sheet shocks and the effectiveness of recapitalization policies in response to them.