macroriskpremium宏观风险溢价

MacroRiskPremiumandIntermediaryBalanceSheetQuantitiesTobiasAdrianFederalReserveBankofNewYorkEmanuelMoenchFederalReserveBankofNewYorkHyunSongShinPrincetonUniversityandCEPRPaperpresentedatthe10thJacquesPolakAnnualResearchConferenceHostedbytheInternationalMonetaryFundWashington,DC─November5–6,2009Theviewsexpressedinthispaperarethoseoftheauthor(s)only,andthepresenceofthem,oroflinkstothem,ontheIMFwebsitedoesnotimplythattheIMF,itsExecutiveBoard,oritsmanagementendorsesorsharestheviewsexpressedinthepaper.1100TTHHJJAACCQQUUEESSPPOOLLAAKKAANNNNUUAALLRREESSEEAARRCCHHCCOONNFFEERREENNCCEENNOOVVEEMMBBEERR55--66,,220000991MacroRiskPremiumandIntermediaryBalanceSheetQuantities1TobiasAdrianEmanuelMoenchHyunSongShinFederalReserveBankofNe[e-mail]@[e-mail]15,2009Abstract:Themacroriskpremiummeasuresthethresholdreturnforrealactivitythatreceivesfundingfromsavers.Financialintermediaries’balancesheetconditionsprovideawindowonthemacroriskpremium.Thetightnessofintermediaries’balancesheetconstraintsdeterminestheir“riskappetite”.Riskappetite,inturn,determinesthesetofrealprojectsthatreceivefunding,andhencedeterminethesupplyofcredit.Monetarypolicyaffectstheriskappetiteofintermediariesintwoways:viainterestratepolicy,andviaquantitypolicies.WeestimatetimevaryingriskappetiteoffinancialintermediariesfortheU.S.,Germany,theU.K.,andJapan,andstudythejointdynamicsofriskappetitewithmacroeconomicaggregatesandmonetarypolicyinstrumentsfortheU.S.Wearguethatriskappetiteisanimportantindicatorformonetaryconditions.1Paperpreparedforthe10thJacquesPolakannualIMFresearchconference,November5-6,2009.TheviewsexpressedinthispaperarethoseoftheauthorsanddonotnecessarilyrepresentthoseoftheFederalReserveBankofNewYorkortheFederalReserveSystem.21.Introduction Financialintermediariesoftentakethebackseatinaggregatemacromodelsthatfocusoninflationandoutput.Themainobjectiveofthispaperistofocusattentionmoresquarelyonthefinancialintermediarysector,andexploretheextenttowhichbanksandotherintermediariesplaytheroleoftheengineofmacroeconomicfluctuationsthroughthedeterminationofthepriceofrisk.Ourhopeistoshedlightonthemechanismsthatdrivefinancialboomsandbuststhathavewidereconomicimpact.Ourargumentrestsontherelationshipbetweenthemacroriskpremiumandthegrowthoffinancialintermediarybalancesheets.Financialintermediarieswhoaimtomanagetheirbalancesheetsactivelyinresponsetochangingeconomicconditionswilltailortheircreditsupplydecisionsonthesparecapacityoftheirbalancesheets,asmeasuredbytheavailabilityofequitycapitalandthemeasuredrisksassociatedwithnewlending.Inthisway,thetightnessofbalancesheetconstraintsoffinancialintermediariesdeterminetheintermediaries’riskappetite,andhencethesupplyofcredit.Thegreateristherisktakingcapacityoftheintermediarysector,thegreateristherangeofrealactivitythatreceivesfunding.Thus,wemayexpectacloserelationshipbetweenthreethings.RapidgrowthofintermediarybalancesheetsLowerriskpremiumsHigherrealactivityWeshowthatsuchrelationshipsdoindeedexist,andexploretheirempiricalmagnitudesaswellastheirdynamicproperties.WemeasurehigherrealactivitybyGDPgrowth.Oncethecriterionforrealactivityissetinthisway,weturntotheappropriatemeasuresofintermediaryriskappetiteandriskpremiums.Westartbymakingthesecondbulletpointaboveempiricallyoperational–thenotionofariskpremiumthatisrelevantforGDPgrowth.Weestimatea“macroriskpremium”r,byselectingacombinationoffinancialmarketspreadsfromfixedincomesecuritiesthatperformwellintrackingGDPgrowth.Wedocumentthatourmeasureofthemacroriskpremiumis3closelyrelatedtothetermspreadofinterestratesandtocreditspreads,butthatitonlyhasaloose,negativerelationshiptothelevelofinterestrates.Wethenmakeoperationalthefirstbulletpointabove–thenotionoffinancialintermediaryriskappetite,bymeansofmeasuresofthegrowthofbalancesheetquantities.Weidentifythesetoffinancialintermediariesforwhichtheirbalancesheetgrowthbestpredictchangesinthemacroriskpremium.WeshowthatfortheUS,themarket-basedfinancialintermediariessuchasthebrokerdealersandthe“shadowbanks”fitthisrole.Inthisway,market-basedintermediariesplayanimportantroleintheempiricalexerciseoffindingthesummarymeasureofbalancesheetgrowththatbestcapturesthefluctuationsinthemacroriskpremium.Havingtakenthefirsttwobulletpointsinthethree-partrelationshipdescribedabove,weclosethecirclebyshowingthatoursummarymeasureofriskappetite,inturn,doesagoodjobofexplainingGDPgrowthdirectly.Wedocumenttherelationshipbetweenriskappetite,GDPgrowth,andtheleveloftheshortrate.Finally,wedocumentthatthesettingofshortratesbycentralbankshasbeendeterminednotonlybyGDPgrowthandinflation,butalsobythedegreeofriskappetite.OurapproachsuggeststhatafruitfulextensionofthestandardNewKeynesianmacromodelwouldbetoincorporatebalancesheetvariablesandmeasuresofthemacroriskpremium.Inthisway,theroleoffinancialintermediariesmaybebettercapturedwithinmacromodelsthatbuildonthosealreadyinuseatcentralbanksandotherpolicyorganizations.Ourfindingthatspreadsmattermorethanthelevelofinterestra