演講者簡介 : Professor Haller received his Ph.D. in Mathematics from University of Erlangen & NÄurnberg in 1978. He is currently a Professor at Department of Economics, Virginia Polytechnic Institute and State University. His research fields are Microeconomic Theory and Game Theory.
演講摘要 : We examine the validity of a macroeconomic version of the Modigliani-Miller theorem. By this we understand that different equilibrium capital structures have no impact on the allocation of commodities and on welfare. We develop a general equilibrium model with two production sectors, risk-averse households, and financial
intermediation by banks. Banks are funded by deposits and (outside) equity and monitor borrowers in lending. We impose favorable manifestations of the underlying frictions and distortions. Two classes of equilibria emerge. In the first class, the debt-equity ratio of banks is low. The first-best allocation obtains and banks' capital structure is irrelevant for welfare. In a second class of equilibria, the debt-equity ratio of banks is high, banks are larger and invest more in risky technologies. Default and bailouts financed by lump-sum taxation occur with positive probability and welfare is lower. Hence, the macroeconomic version of the Modigliani-Miller theorem fails to hold in unfettered markets. Imposing minimum equity capital requirements, however, eliminates all inefficient equilibria and guarantees the validity of the macroeconomic version of the Modigliani-Miller theorem.
