演講者簡介 : Mr. Chi will receive his Ph.D. in Economics from Columbia University in 2020. His primary research fields are International macroeconomics and Monetary economics. He is applying for a position of the Institute of Economics, Academia Sinica now.
演講摘要 : This paper develops a dynamic model to study optimal liquidity regulations for multiple assets with differing levels of liquidity. I show that optimal macroprudential policies are affected by both asset liquidity and the multi-asset structure. Lower asset liquidity amplifies drops in asset prices and tightens the collateral constraint during financial crises, thus raising macroprudential taxes to discourage holding. With multiple assets, the marginal benefit of investing in one asset is affected by the future cross-price elasticities of all assets. The effects of cross-price elasticities depend on future trading positions and the tightness of the collateral constraint. Quantitatively, optimal macroprudential policies favor a portfolio with more liquid assets and less borrowing. In the constrained-efficient equilibrium, agents decrease leverage by 9.4% and increase the liquid share of the balance sheet by 2.6% compared with the unregulated equilibrium. The optimal policy lowers the probability of encountering financial crises by 8% and increases consumption by 0.99%. Finally, I provide theoretical and quantitative analyses on the efficacy of the Basel III reform. The Basel III reform increases agents’ liquid holdings and decreases the probability of crises. However, it deteriorates welfare, as agents overaccumulate liquid assets.
