برقراری ثبات در اقتصاد ناپایدار: سیاست های پولی و مالی، سهام، و ساختار مدت نرخ بهره

Monetary and fiscal policy measures have been applied in order to avert the financial market collapse and counteract the global recession. In this paper we present an integrated macromodel which in particular focuses on the financial markets. We use a Tobin-like macroeconomic portfolio approach, and the interaction of heterogeneous agents on the financial market to characterize the potential for financial market instability. We show that specific but unorthodox fiscal and monetary policies have to be used to stabilize such unstable macroeconomies.

Financial crises are potential features of advanced macroeconomies and come with huge economic and social costs which could easily amount to a large fraction of a country's GDP and considerably lasting consequences (Reinhart and Rogoff, 2009). Motivated by the events that triggered the financial crises which spread worldwide as a great recession we set up a theoretical macroeconomic framework with an elaborated financial sector characterized by disequilibrium adjustment processes. Using a dynamic portfolio approach based on the work by James Tobin (1982), we are able to identify the sources of financial market instability on the one hand, and the feedback channels from the financial to the real markets and vice versa which, on the other hand, via Tobin's q may give rise to additional sources of macroeconomic fragility. Furthermore, due to an extension of the portfolio model of Flaschel et al. (forthcoming) by risk-bearing long-term bonds, besides equities, for which capital gains have to be taken into account, the term structure of interest rates will now also be addressed. We show the perilous consequences of speculation by employing a chartist–fundamentalist scheme like Brunnermeier (2008). Chartists behave like speculators and are a kind of technical traders that use here simple adaptive expectation mechanisms. On the contrary fundamentalists care for basic economic data and expect variables to return to steady state values with a certain adjustment speed. Regarded in isolation from the rest of the economic system the first type of agent exerts a destabilizing influence, whereas the latter one is principally stabilizing in the financial markets. Market expectations for equities and long-term bonds evolve then according to a weighted average of fundamentalists' and chartists' expectations schemes. Since our focus here is on the financial markets and their specific sources of instability, the real side of the economy is kept as simple as possible. Moreover, this has the advantage that the dynamics of the model is rendered analytically tractable and that closed-form solutions implying precise propositions on the (in-)stability of the considered dynamics can be obtained.1 The modeled economy has to face two major channels of instability. On the one hand, the interaction of the real and the financial markets through Tobin's q, and on the other hand the interaction of heterogeneous agents on the asset markets. In view of these feedback structures we propose specific policy measures to tame their centrifugal forces around the steady state of the private sector of the economy. Since it is the interconnectedness of markets which is at the core of our considerations, there is not a single policy instrument that is capable of doing the stabilizing job alone. From the large set of candidates that might be suited to counteract the explosive dynamics, we pick those we regard as being most appropriate and effective to stabilize such potentially unstable macroeconomies. In particular Minsky (1982) has put forth various ideas in this respect. At the end and on the basis of our stability analysis, we will be able to show that a Tobin-type tax of capital gains together with an equity market oriented monetary policy and an open market policy that trades in long-term bonds might indeed be able to stabilize the model, in contrast to conventional types of Taylor rules, which may not be sufficient for the stabilization of such economies. In the next section we investigate the asset market structure considered in our model type by contrasting it with a traditional Keynesian approach presented in Turnovsky (1995), where static stock price expectations are used for deriving an IS-LM analysis of conventional type. We then investigate in Section 3 the stability of the real-financial market interaction of our model and provide in Section 4 an extension of the core model via the endogenization of capital gain expectations. In Section 5 we use dynamic stability analysis to investigate the specific policy measures that can tame the unstable working of the private sector of the economy. Section 6 concludes.

Financial slumps and even huge crises are no unique events in economic history (as is shown by Reinhart and Rogoff, 2009), but are recurrent features of capitalist economies. In view of this, we have developed in this paper a macro model with sources of instability within the real-financial markets interaction in particular. Since it was policy interventions that ended the Great Depression and averted a second global depression after the financial market meltdown in the late 2000s, we modeled an unstable private sector which had to be safeguarded by appropriate policy measures in order to make the dynamics of the economy viable. These policy instruments were close in spirit to Minsky (1986) and similar suggestions by Farmer, 2010 and Bernanke et al., 2004. The integrated macro model of this paper exhibited a rich asset market structure with the fundamental financial instruments (except credit relationships) being present regarding the financing decisions of firms (if the assumed long-term bonds are also considered as corporate bonds besides government bonds). Though we cannot claim to be able to represent highly elaborated financial derivatives in the model's financial part, from the macroeconomic perspective the modeling stage can be considered to capture a very broad range of basic financial instruments. The model featured the incorporation of the term-structure of interest rates (besides stock price dynamics) and the behavior in the financial markets was characterized by dynamic portfolio decisions of economic agents with heterogeneous capital gains expectations. We have considered in such a framework the stability properties of the private sector of the economy and – in the case of instability – the policy measures that are capable of overcoming the centrifugal forces around the steady state of the economy. These policy measures were given by a Tobin type tax on capital gains for long term bonds as well as equities, certain interest rate policy rules concerning equity prices (and long-term bond prices) and also open market operations of the central bank in the market for long-term bonds. To some extent the proposed policies resemble real world policy actions taken by the FED and other central banks during the crisis with respect to open market interventions. Other instruments like the Tobin-type capital gains taxation remain to be implemented however. A quantitative assessment of the specific interest rate policies remains here a question for future research and empirical application of the model.