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1、Macroeconomics with Financial Frictions: A SurveyMarkus K. Brunnermeier, Thomas M. Eisenbach and Yuliy SannikovJanuary 2012AbstractThis article surveys the macroeconomic implications of financial frictions. Fi-nancial frictions lead to persistence and when combined with illiquidity to non-linear amp
2、lification effects. Risk is endogenous and liquidity spirals cause financialinstability. Increasing margins further restrict leverage and exacerbate downturns.A demand for liquid assets and a role for money emerges. The market outcome isgenerically not even constrained efficient and the issuance of
3、government debt canlead to a Pareto improvement. While financial institutions can mitigate frictions,they introduce additional fragility and through their erratic money creation harmprice stability.Brunnermeier: Princeton University, markusprinceton.edu; Eisenbach: Federal Reserve Bank ofNew York, t
4、homas.eisenbachny.frb.org; Sannikov: Princeton University, . For helpful comments and discussion we would like to thank Wei Cui, Dong Beom Choi and the participantsof the 2010 macro-finance reading group at Princeton University. The views expressed in the paper arethose of the authors and are not ne
5、cessarily reflective of views at the Federal Reserve Bank of New York or the Federal Reserve System.1Contents1Introduction32Persistence, Amplification and Instability10 2.1Persistence . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .10 2.2Dynamic Amplification . . . . . . . . . . .
6、 . . . . . . . . . . . . . . . .14 2.3Instability, Asymmetry, Non-linear Effects and Volatility Dynamics. .223Volatility, Credit Rationing and Equilibrium Margins29 3.1Credit Rationing. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .29 3.2Delevering due to Margin/Haircut Spiral . . . . . .
7、 . . . . . . . . . . .31 3.3Equilibrium Margins and Endogenous Incompleteness . . . . . . . . . .334Demand for Liquid Assets40 4.1Smoothing Deterministic Fluctuations. . . . . . . . . . . . . . . . . .41 4.2Precautionary Savings and Uninsurable Idiosyncratic Risk. . . . . . .46 4.2.1Precautionary Sa
8、vings. . . . . . . . . . . . . . . . . . . . . . .46 4.2.2Constrained Inefficiency. . . . . . . . . . . . . . . . . . . . . .51 4.2.3Adding Aggregate Risk . . . . . . . . . . . . . . . . . . . . . . .54 4.2.4Amplification Revisited and Adding Multiple Assets . . . . . . .565Financial Intermediation6
9、6 5.1Liquidity Insurance and Transformation. . . . . . . . . . . . . . . . .66 5.2Design of Informationally Insensitive Securities . . . . . . . . . . . . . .71 5.3Intermediaries as Monitors . . . . . . . . . . . . . . . . . . . . . . . . .72 5.4Intermediaries Fragility: Incentives versus Efficiency
10、. . . . . . . . . .76 5.5Intermediaries and the Theory of Money . . . . . . . . . . . . . . . . .7921IntroductionThe ongoing great recession is a stark reminder that financial frictions are a key driverof business cycle fluctuations. Imbalances can build up during seemingly tranquil times until a tr
11、igger leads to large and persistent wealth destructions potentially spilling overto the real economy. While in normal times the financial sector can mitigate financialfrictions, in crisis times the financial sectors fragility adds to instability. Adverse feed-back loops and liquidity spirals lead to
12、 non-linear effects with the potential of causinga credit crunch. Classic economic writers who experienced the great depression first- hand like Fisher (1933), Keynes (1936), Gurley and Shaw (1955), Minsky (1957) andKindleberger (1978) emphasized the importance of financing frictions and inherent in
13、-stability of the financial system. Patinkin (1956) and Tobin (1969) also emphasized theimportant implication of financial stability for monetary economics. This article surveys the growing literature that studies the macroeconomic impli-cations of financial frictions straddling three branches of ec
14、onomics: macroeconomics,finance and general equilibrium theory. All of them share common themes and similarinsights, but they are disconnected in the profession partly because they differ in theirmodeling approaches and in their identification of the root of the instability. The objec- tive of this
15、survey is to lay bare important theoretical macro mechanisms and highlightthe connections and differences across these approaches.In a frictionless economy, funds are liquid and can flow to the most profitable projector to the person who values the funds most. Differences in productivity, patience,
16、riskaversion or optimism determine fund flows, but for the aggregate output only the total capital and labor matter. Productive agents hold most of the productive capital andissue claims to less productive individuals. In other words, in a setting without finan- cial frictions it is not important whether funds are in the hands of productive or less productive agents and the economy can be studied with a single representative agentin mind. In contrast, with financial frict
