Three essays on sunspots and banking.
详细信息
文摘
Chapter 1. Sunspots and background risks. Why do we experience business cycles? This is one of the oldest yet unresolved questions in economics. The orthodox theories seek the answer from the change in fundamentals, such as endowments or production technologies. The sunspot-equilibrium theory suggests an alternative that economies may fluctuate just because people believe so even without change in fundamentals. In order to show this, most sunspot theories simplify the model by ruling out uncertainty in fundamentals. In this paper, I incorporate uninsurable (background) risks into the model and show that the presence of background risks makes economies more vulnerable to sunspot-driven business cycles.;Chapter 2. Behavior of bank lending: A theory and some evidence. There are two types of bank lending, commitment and noncommitment lending. I examine how liquidity constrained banks adjust their lending mix in response to tight monetary policy and see how it is translated into a pro-cyclical pattern of bank lending. I consider two separate channels for tight monetary policy: the Federal Reserves reduce the amount of reserves available to banks (the ‘liquidity’ effect) and increase the market interest rates (the ‘interest-rate’ effect). The model predicts that the interest rate effect is responsible for the pro-cyclical pattern of bank lending, while the liquidity effect is mostly on the composition of loans. I support these results with empirical testing.;Chapter 3. Optimal banking contracts. I re-examine optimal banking contracts in a modified version of the Diamond-Dybvig model. I consider an environment in which the fraction of impatient consumers is random. In addition to the usual risk-averse consumers with uncertain preferences, there is other consumers who are risk-neutral and indifferent between the periods of consumption. Under this modified environment, banks have the additional role of indirect insurance besides their usual risk-sharing function. Although preference shocks are not observable individually, they become observable in aggregate under deposit contracts and therefore insurable, since depositors reveal their private types truthfully. This implies that the first-best allocation is achievable with standard deposit contracts and supporting insurance contracts with outside the banking system.