经济学论文,货币,金融中介,莫纳什大学.doc

本文档系作者精心整理编辑，实用价值高。A Theory of the Non-Neutrality of Money with Banking Frictions and Bank Recapitalization(Forthcoming in print, Economic Theory,Published online version downloadable at:/content/j2350428630m7693/fulltext.pdf)Zhixiong ZengyDepartment of EconomicsMonash UniversityAugust 2011AbstractThe unconventional monetary policy actions of the Federal Reserve during the recent Global Financial Crisis often involve implicit subsidies to banks. This paper oers a theory of the non-neutrality of money associated with capital injection into banks via nominal transfers, in an environment where banking frictions are present in the sense that there exists an agency problem between banks and their private-sector creditors. The analysis is conducted within a general equilibrium setting with two-sided nancial contracting. We rst show that even with perfect nominal exibility, the recapitalization policy has real eects on the economy. We then introduce banking riskiness shocks and study optimal policy responses to such shocks.JEL Classication: E44, E52, D82, D86.Keywords: Bankruptcy of banks; banking riskiness shocks; two-sided debt contract; unconventional monetary policy; nancial crisis.I wish to thank an anonymous referee whose comments have led to great improvement of the paper. Par-ticipants at the Econometric Society World Congress 2010, the 16th Australasian Macroeconomics Workshop 2011, the Conference “The Role of Finance in Stabilizing the Past, Present, and Future Real Economy” held in DIW Berlin, and Monash University Department of Economics Workshop also provided helpful comments. I am especially indebted to Larry Christiano and Yi Jin for their encouragement. All errors are mine.yDepartment of Economics, Monash University, Cauleld East, VIC 3145, Australia. Phone: +61-3-99034045, Fax: +61-3-99031128, Email: .本文档系作者精心整理编辑，如有需要，可查看作者文库其他文档。Electronic copy available at: /abstract=19291191 Introduction The Federal Reserve took a variety of unconventional policy actions to cope with the recentGlobal Financial Crisis (GFC). As traditional interest rate policy that adjusts the federal fundsrate was perceived to be ineective (Cecchetti, 2009), the Fed adopted various measures of theso-called “unconventional monetary policy.”1 In addition to injecting liquidity into the nancialsystem (Brunnermeier, 2009), some of the Feds policy measures also had the avor of providingcapital subsidy to banks, a point forcefully made by Cecchetti (2009). This is certainly truewhen the Fed directly purchased assets previously held by banks, such as mortgage backedsecurities, at above market prices. It can also be argued that lending by the Fed during thecrisis almost always involved subsidies. By accepting collaterals at prices that were almost surelyabove their actual market prices (Tett, 2008) and charging lower interest rates (relative to thefederal funds rate) when banks were actually perceived by the market to be exposed to greaterrisks, Fed lending in eect recapitalized the borrowing banks through nominal transfers: Onone hand, reserves and monetary base were created. On the other hand, banks were gettingmore funds than they could borrow from the market for the same interest rates and the samecollateral assets. During the early phase of the crisis, the Fed attempted to stimulate discountborrowing, which is collateralized, by reducing substantially the premium charged on primarydiscount lending over the federal funds rate target and raising the term of lending from overnightto as long as three months. In addition, to remove the stigma attached to discount borrowing2,the Fed created the Term Auction Facility (TAF) in December 2007 and enlarged it later onin order to better provide funds to banks that need them most. The rules of the TAF allowed1 See Reis (2009) and Goodfriend (2011) for reviews. Recent models of unconventional monetary policy include Gertler and Karadi (2011) and Crdia and Woodford (2011), among others.2 Traditionally, banks that borrowed from the discount window might be seen by other banks and institutions as having nancial stress.1Electronic copy available at: /abstract=1929119banks to pledge collaterals that might otherwise have little market value. With few exceptions,the interest rates paid on TAF loans were near or below the expected primary discount lendingrate.3To be sure, the unconventional monetary policy is multi-faceted. This paper focuses on oneparticular aspect of the policy, namely, implicit capital subsidy to banks nanced by moneycreation. In light of the celebrated Modigliani-Miller theorem (Modigliani and Miller, 1958),such recapitalization policy would be ineective in stimulating employment and output in aworld where banks can frictionlessly raise funds to nance the loans they make, as the capitalstructure of banks would be irrelevant for their lending activities and the real market value oftheir loan portfolios. In that kind of world the classical dichotomy holds and recapitalizationof banks by the monetary authority is neutral, despite that it does involve a real transferthat enlarges banksnet worth relative to debt (because other sectors of the economy are notgetting the same nominal transfer). However, as will be demonstrated in this paper, once anagency problem is introduced to the relationship between banks and their private-sector creditors(henceforth “depositors”for ease of exposition)4, the Modigliani-Miller theorem fails for banks,the classical dichotomy breaks down, and money is no longer neutral when central bank policytakes the form of injecting money to the banking system to increase bank capital. In particular,a bank recapitalization eort by the monetary authority triggers a redistribution of wealth infavor of the banks, lowers their debt-equity ratio and costs of external nance, hence stimulatesbank lending and raises employment and output. Importantly, this non-neutrality result obtains3 For det