macro economics with financial frictions, a survey

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1、MacroeconomicswithFinancialFrictions:ASurveyMarkusK.Brunnermeier,ThomasM.EisenbachandYuliySannikovJanuary2012AbstractThisarticlesurveysthemacroeconomicimplicationsofnancialfrictions.Fi-nancialfrictionsleadtopersistenceandwhencombinedwithilliquiditytonon-linearamp

2、licationeects.Riskisendogenousandliquidityspiralscausenancialinstability.Increasingmarginsfurtherrestrictleverageandexacerbatedownturns.Ademandforliquidassetsandaroleformoneyemerges.Themarketoutcomeisgenericallynotevenconstrainedecientandtheissuanceofgovernment

3、debtcanleadtoaParetoimprovement.Whilenancialinstitutionscanmitigatefrictions,theyintroduceadditionalfragilityandthroughtheirerraticmoneycreationharmpricestability.Brunnermeier:PrincetonUniversity,markus@princeton.edu;Eisenbach:FederalReserveBankofNewYork,thomas.e

4、isenbach@ny.frb.org;Sannikov:PrincetonUniversity,sannikov@gmail.com.ForhelpfulcommentsanddiscussionwewouldliketothankWeiCui,DongBeomChoiandtheparticipantsofthe2010macro-nancereadinggroupatPrincetonUniversity.Theviewsexpressedinthepaperarethoseoftheauthorsandarenot

5、necessarilyre ectiveofviewsattheFederalReserveBankofNewYorkortheFederalReserveSystem.1Contents1Introduction32Persistence,AmplicationandInstability102.1Persistence..................................102.2DynamicAmplication...........................142.3Instability,

6、Asymmetry,Non-linearEectsandVolatilityDynamics..223Volatility,CreditRationingandEquilibriumMargins293.1CreditRationing..............................293.2DeleveringduetoMargin/HaircutSpiral.................313.3EquilibriumMarginsandEndogenousIncompleteness.........

7、.334DemandforLiquidAssets404.1SmoothingDeterministicFluctuations..................414.2PrecautionarySavingsandUninsurableIdiosyncraticRisk.......464.2.1PrecautionarySavings.......................464.2.2ConstrainedIneciency......................514.2.3AddingAggrega

8、teRisk.......................544.2.4AmplicationRevisitedandAddingMultipleAssets.......565FinancialIntermediation665.1LiquidityInsuranceandTransf