Econ 492 Comparative Financial Crises492金融危机的经济比较.pptxVIP

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Econ 492 Comparative Financial Crises492金融危机的经济比较.pptx

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Econ 492: Comparative Financial Crises Lecture 2 19 January 2011 David Longworth This material is copyrighted and is for the sole use of students registered in ECON 492. This material shall not be distributed or disseminated to anyone other than students registered on ECON 492. Failure to abide by these conditions is a breach of copyright, and may also constitute a breach of academic integrity under the University Senate’s Academic Integrity Policy Statement. Overview Transmission Policy Response During the Crisis Prevention Data Sources Note: AG indicates Franklin Allen and Douglas Gale (2009), Understanding Financial Crises. KA indicates Charles P. Kindleberger and Robert Aliber (2005), Manias, Panics, and Crashes. RR indicates Carmen Reinhart and Kenneth Rogoff (2009), This Time is Different. Economics 492 Lecture 2 2 l. Transmission Outline of Course Economics 492 Lecture 2 3 I. Transmission Fire Sales (Cash-in-the-market pricing) Margin and liquidity spirals Bank runs Interconnectedness and contagion Decline in wealth of private sector: effects on output and employment Zero bound on nominal interest rates takes away conventional monetary policy channel Economics 492 Lecture 2 4 I. Transmission Fire Sales (Cash-in-the-market pricing)(AG 4,5) First, assume a model with markets only, no banks Limited market participation: not everyone participates in every market (fixed set-up cost) Market liquidity depends on amount of cash held by market participants If there is a lack of cash in the market, small shocks have large effects on prices Then prices are not determined by expected present values, but by ratio of available liquidity to amount of asset supplied Economics 492 Lecture 2 5 I. Transmission Fire Sales (Cash-in-the-market pricing)(AG 4,5) Amount of cash in market depends on participants’ liquidity preference, which will determine the average level of the short-term asset held Changes in liquidity demand relative to liquidity supply determines price volatil