David Aikman, Kristina Bluwstein, Sudipto Karmakar
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Abstract
We build a semi-structural New Keynesian model to study the drivers of macroeconomic tail risk (‘GDP-at-Risk’). Our model features three key nonlinearities: an effective lower bound on nominal interest rates; a credit crunch in bank loan supply when bank capital depletes; and deleveraging by borrowers when debt service burdens become excessive. These nonlinearities can interact to amplify GDP-at-Risk: for example, when debt burdens rise sufficiently, this increases the risk of debt deleveraging but also that of a credit crunch and hitting the effective lower bound. We use the model to study various UK recessions and document the amplification potential driven by the prevailing levels of headroom vis-a-vis the effective lower bound, the bank capital constraint, and the debt service burden threshold. Furthermore, we simulate a persistent inflation shock to analyse how these interactions might operate at this juncture.
我们建立了一个半结构新凯恩斯主义模型，研究宏观经济尾部风险（"GDP 风险"）的驱动因素。我们的模型有三个关键的非线性因素：名义利率的有效下限；当银行资本耗尽时银行贷款供应的信贷紧缩；以及当偿债负担过重时借款人的去杠杆化。这些非线性因素会相互作用，放大 GDP 风险：例如，当债务负担上升到一定程度时，债务去杠杆化的风险就会增加，同时信贷紧缩和触及有效下限的风险也会增加。我们使用该模型研究了英国的各种经济衰退，并记录了相对于有效下限、银行资本约束和偿债负担阈值的现行裕度水平所驱动的放大潜力。此外，我们还模拟了持续性通胀冲击，以分析这些相互作用在此关头可能如何发挥作用。
期刊介绍：
The IMF Economic Review is the official research journal of the International Monetary Fund (IMF). It is dedicated to publishing peer-reviewed, high-quality, context-related academic research on open-economy macroeconomics. It emphasizes rigorous analysis with an empirical orientation that is of interest to a broad audience, including academics and policymakers. Studies that borrow from, and interact with, other fields such as finance, international trade, political economy, labor, economic history or development are also welcome.
The views presented in published papers are those of the authors and should not be attributed to, or reported as, reflecting the position of the IMF, its Executive Board, or any other organization mentioned herein.
Comments
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