Seminar on International Economics

时间：2015年9月15日（周二）14：00－15：30 pm
地点：北大国发院/中国经济研究中心致福轩教室
主持：余淼杰
主讲：许小年（中欧国际工商学院）

主题：The Effects of the Monetary Policy on the U.S. Housing Bubble from 2001-2006

摘要：This paper presents a dynamic stochastic general equilibrium model to test the relative significance of monetary policy and financial market innovations in creating the U.S. housing bubble between 2001 and 2006. The model generates a trajectory of house price that mimics the Case–Shiller index fairly well when actual Federal Fund rates are taken as inputs. It fails to do so when the monetary policy follows the Taylor rule (Taylor 1993) even if mortgage-backed securities (MBS) are introduced. Aided by the structural model, we identify several transmission mechanisms of monetary policy with an emphasis on the financial accelerator (BGG 1999) and explain why monetary policy played a more important role in the making of the bubble. Furthermore, the model predicts that the lending standards of banks will go down with the benchmark interest rate. Equivalently, financial institutions respond rationally to a policy rate cut by taking more risks. Consistent with these results, our data and event analyses show that most market anomalies occurred when the Federal Fund rate deviated substantially from the Taylor rule.

演讲者简介：许小年教授现为中欧国际工商学院经济学与金融学教授，桑坦德银行经济学与金融学教席教授，他于1991年在美国加州大学戴维斯分校获得经济学博士学位。许教授的研究涉及宏观经济学、金融学、中国经济改革等多个领域，他在1996年获中国经济学界最高奖“孙冶方”经济学奖，以表彰他对中国资本市场的研究。

文章请见 许小年教授文章