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1、,Boom Busts in Asset Prices, Economic Instability, and Monetary Policy,Michael Bordo and Olivier Jeanne,2. Historical Perspectives,3. Identifying booms and busts in asset prices,4. Theory,5. Conclusions and Policy Implications,Contents,1. Introduction,问题的提出：,proactive or reactive?,dilemma,optimal mo
2、netary policy,background to the analysis,presents the model,discusses policy implications,文章框架,conclusion,LOGO,两个典型事例,The U.S. 1929-1933,Japan 19861995,episodes,features,1.资产膨胀开始于 1926年, 在1928年三月变成泡沫 , 在1929年泡沫破裂。 2. 在1927年春美联储扩张性政策加速了资产膨胀; 而在1929年美联储紧缩性政策触发了资产崩溃。,1.资产膨胀崩溃周期开始于80年代中期，并表现在由银行借贷和宽松的货币
3、政策导致的房屋价格上涨。资产价格膨胀导致股票市场膨胀，并刺激了企业抵押贷款，资产膨胀愈演愈烈。 2.1989年日本央行的紧缩的货币政策触发了资产崩溃。,Boom-Busts in Asset Prices, Economic Instability, and Monetary Policy, Michael D. Bordo and Olivier Jeanne，P6P7,,LOGO,Identifying booms and busts in asset prices,Sub title,Sub title,Methodology,Boom Busts in the OECD 1970-20
4、01,Ancillary Variables,if,if,boom,bust,Methodology,Boom-Busts in Asset Prices, Economic Instability, and Monetary Policy, Michael D. Bordo and Olivier Jeanne，P8,,LOGO,5.8 percent,2.9 percent,13.6 percent,总平均增长率,标准差,不动产价格,股票 价格,1.3,参数x,1.3,1.1 percent,Boom Busts in the OECD 1970-2001,Boom-Busts in As
5、set Prices, Economic Instability, and Monetary Policy, Michael D. Bordo and Olivier Jeanne，P9,How to define a boombust?,“意外收获”,不动产市场更容易出现“boombust”,银行危机通常发生在资本膨胀的巅峰或者发生在崩溃之后,Boom-Busts in Asset Prices, Economic Instability, and Monetary Policy, Michael D. Bordo and Olivier Jeanne，P9P10,LOGO,Ancillar
6、y Variables 辅助变量,inflation,real output gap,domestic private credit,货币政策对资产价格的反应 Bordo-Jeanne分析框架,晕了,主动的 货币政策,被动的 货币政策,2、存在短期的菲利普斯曲线,3、货币政策主要通过基于企业资产负债表渠道传导,4、抵押品的价格由预期的长期生产率决定,模型假设,1、私人部门力图使自己的效用函数达到最优,(一)理论模型,（一）理论模型,Click to add Text,The reduced-form model has periods t=0,1.,1.The model,简化模型的基本方程式
7、如下所示：,All variables，except the real interest rate，are in logs,Aggregate demand and aggregate supply,The supply shock results from the occurrence of a credit crunch in the corporate sector，For simplicity，we assume that the credit crunch can occur only in period 1:,If no credit crunch,If credit crunch
8、,In period 1：,if,The firms that require intra-period credit can operate,if,There is a credit crunch,2、货币政策与金融的脆弱性,货币政策,信用危机的两个关键变量,经济陷入信用危机的概率也就是测度金融的脆弱性：,信用危机发生的概率与事前利率呈负相关：,3、被动型与主动型的货币政策,In order to investigate this trade-off one has to endow the monetary authorities with an intertemporal objecti
9、ve function. We assume that the government minimizes the following quadratic loss function.,4、非传统的泰勒规则,抵押品的 资产价格,第二阶段,“新的经济”,“旧的经济”,“新的经济”发生的概率，即经济主体们对经济乐观的一种看法。,“旧的经济”发生的概率,根据式（4），如果 ，信用危机就会发生。将D用 并且,于是信用危机发生的风险可以写成：,因此，当私人微观主体对“新的经济”更加乐观时，企业将会借更多的钱，而这时信用危机就越可能发生。资产价格在新旧两种情况下的差异越大时，信用危机也越容易发生。,The
10、authorities can maintain the probability of a credit crunch at its minimum level of 0 by setting the first period real interest rate at the following level：,?,Whether the authorities always wish to reduce the probability of a credit crunch to zero . Because the required level of the real interest ra
11、te may be excessively high。,By adopting a reactive approach，the government can set its loss to zero in the first period，but takes the risk of incurring a strictly positive loss in the second period if a credit crunch occurs.,在后一阶段中，货币当局在 的约束下，力图是损失函数 最小。 最优解为： 损失值为： 跨期损失值等于信用危机发生的概率乘以信用危机发生时的损失值：,If
12、 the government raise the real interest rate to the level implied by （13）in order to avoid a credit crunch ，output and prices are depressed below the target levels in period1.,货币损失为：,如果 ，货币当局会采取积极性的货币政策，而且如果积极型的货币政策所要求的利率不是太高，采取积极型货币政策是有利的。,信贷水平,利率r的变化率,Y0产出 变化率,价格水平P0的变化率,图是按照以下典型参数值校准而画出来的：,结论：,Bordo&Jeanne指出央行对资产价格泡沫采取“善意忽视”策略将付出更大的代价。相对于将资产价格直接纳入央行的目标函数，货币政策对通胀预期和产出缺口偏差过多的依赖，在有些情况下会导致更大的损失。建议货币政策在资产价格上涨的初期就通过调整利率等政策手段进行干预。,Thank You!,Add Your Company Slogan,