( ) z W n u K P N P = (1 + z)wn N = nuk (1) (2) I/K u e f r l (= L/PK) (4) I K = g(u, r, e f, l ) g u > 0, g r < 0, g e f > 0,

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1 1 money view credit view IS-LM Sims[1980] Bernanke[1983] 1930 Bernanke and Blinder[1988] IS-LM (credit channel) (1) 3 4 (2) 2 1

2 ( ) z W n u K P N P = (1 + z)wn N = nuk (1) (2) I/K u e f r l (= L/PK) (4) I K = g(u, r, e f, l ) g u > 0, g r < 0, g e f > 0, g l < 0 (3) L d B s, PI = L d + B s (4) (5) l d (= L d /PK ) i r e f L d /PK L d PK = ld (i, r, e f ) + l l d i < 0, l d r > 0, l d e f > 0 (5) 2

3 b s (= B s /PK) b s = g l d B s /PK B s PK =g(u, r, e f ) l d (i, r, e f ) + b = b s (u, r, i, e f ) + b (6) b s u > 0, b s r < 0, b s i > 0, b s e f 0 b B/PK 2.2 w C/K S/K C K = wnu S K = zwnu M Ω (6) M d Ω d M d + Ω d = M + Ω + PS (9) r e h m d ( = M d /PK) ω d ( = Ω d /PK) m d = ψ(r, e h ) ( m + ω + zwnu ) ψ r < 0, ψ eh < 0 (10) ω d = [ 1 ψ ( r, e h ) ] ( m + ω + zwnu ) (11) m = M/PK ω = Ω/PK (7) (8) 2.3 A s R s A s = R s (12) i c 3

4 R d L s V d A d M s R d + L s + V d = A d + M s (13) (12) (13) L s + V d = M s (14) (7) ϕ u e b l i L s /PK i = i c + ϕ(u, e b, l) ϕ u < 0, ϕ eb < 0, ϕ l > 0 (15) L s PK = ld ( i, r, e f ) + l l d i < 0, l d r > 0, l d e f > 0 (16) V d /PK r i V d PK = vd (r, i) + v v d r > 0, v d i < 0 (17) v d ( V d /PK) v (= V/PK) (14) (16) (17) M s /PK M s PK =ld (i, r, e f ) + v d (r, i) + l + v = m s (i, r, e f ) + l + v (18) m s i < 0, m s r > 0, m s e f > 0 4

5 2.4 m + ω = l + v + ω = 1 P = (1 + z)wn (19.1) N = nuk (19.2) g(u, r, e f, l) = zwnu (19.3) ψ(r, e h ) (1 + zwnu) = m s (i, r, e f ) + l + v (19.4) i = i c + ϕ ( u, e b, l ) (19.5) [ 1 ψ(r, e h ) ] (1 + zwnu ) + v d (r, i) + v = b s (u, r, i, e f ) + b (19.6) P, u, N, i, r u r (19.3) (19.4) { u = h 1 g( u, r, e f, l ) zwnu } (20.1) { ṙ = h 2 ψ(r, eh ) (1 + zwnu ) m s (i, r, e f ) l v } (20.2) h 1 h 2 (19.2) (19.5) u, r u = a 11 (u u ) + a 12 (r r ) (21.1) ṙ = a 21 (u u ) + a 22 (r r ) (21.2) a i j (i, j=1, 2) a 11 = h 1 { g u zwn } 0 (22.1) a 12 = h 1 g r < 0 (22.2) { } a 21 = h 2 ψzwn m s i ϕ u 0 (22.3) { a 22 = h 2 ψr (1 + zwnu ) mr s } < 0 (22.4) 5

6 a 11 a 21 a 11 g u < zwn = a 11 < 0 (23) a 21 u a 21 > 0 u a 21 < 0 ψzwn > m s i ϕ u = ( l d i + v d i ψzwn < m s i ϕ u = ( l d i + v d i ) ϕu = a 21 > 0 (24.1) ) ϕu = a 21 < 0 (24.2) a 21 < 0 (C1) li d v d i (C2) ϕ u (C3) m d u (21) (a i j ) i. j=1,2 Γ(λ) = λ 2 (a 11 + a 22 )λ + (a 11 a 22 a 12 a 21 ) = 0 (25) (λ 1, λ 2 ) a 21 Q(λ) = λ 2 (a 11 + a 22 )λ + a 11 a 22 (26.1) R(ϵ) = a 12 a 21 = h 2 a 12 ( ψzwn ϵ ) (26.2) ϵ = mi s ϕ u = ( ) li d + v d i ϕu > 0 (26.3) R(ϵ) α β ϵ ϵ 1 ϵ 2 ϵ 3 ϵ 1 = ψzwn + (a 11 a 22 ) 2 0 4h 2 a 12 (27.1) ϵ 2 = ψzwn > 0 (27.2) ϵ 3 = ψzwn a 11a 22 h 2 a 12 > 0 (27.3) ϵ 1 > 0 ϵ λ 1 < λ 2 6

7 Q(λ) R(ϵ) Q(λ) R(ϵ 2 ) a 11 a 22 o β R(ϵ 3 ) λ α R(ϵ 1 ) 1 Q(λ) R(ϵ) ϵ < ϵ 1 a 21 > 0 (a 11 + a 22 ) / 2) ϵ 1 ϵ < ϵ 2 a 21 > 0 λ 1 λ 2 < 0 ϵ = ϵ 1 λ 1 = λ 2 ϵ 2 ϵ < ϵ 3 a 21 0 λ 1 < λ 2 0 ϵ = ϵ 3 a 21 0 λ 1 < 0 = λ 2 (u, r) ϵ 3 < ϵ a 21 < 0 λ 1 < 0 < λ 2 (2) (3) (u, r) (21.1) (21.2) u = 0 IS a 11 /a 12 > 0 ṙ = 0 FM a 21 /a 22 0 FM LM (8) r u = 0 ṙ = 0 r ṙ = 0 u = 0 r r o u 2 ϵ 1 ϵ < ϵ 2 u o u 3 ϵ 2 ϵ ϵ 3 u 7

8 3.2 (e f, e b, e h ) l v i c u r u = 0 ṙ = 0 u r (9)(10) u =F(r, e f, l) F r < 0, F e f > 0, F l < 0 (28.1) r =G(u, e f, e h, e b, l, v. i c) (28.2) G u 0 (a 21 0 ), G e f < 0, G eh < 0, G eb < 0, G l 0, G v < 0, G i c > 0 (28.1) (28.2) u r (11)(12) u =u(e f, e h, e b, l, v, i c) (29.1) r =r(e f, e h, e b, l, v, i c) (29.2) { u r 0 if Gu > 0 > 0, e f e f < 0 if G u < 0 u r u r > 0, < 0, > 0, < 0 e h e h e b e { { b u < 0 if Gl > 0 r > 0 if Gl > 0, G u < 0 l 0 if G l < 0 l < 0 if G l < 0, G u > 0 u r > 0, v v < 0, u r i < 0, c i > 0 c IS-FM 1 e f IS FM FM 4-2 FM e b IS FM FM 4-3 i c FM FM e h v 3 l IS FM G l > 0 FM 4-2 FM 8

9 4-1 G l < 0 FM r IS FM r IS r IS FM r r r FM FM o u u o u u o u u G u < 0 (e f, e h, e b ) l v e f, e h, e b e e u û ė = θ {u û} (30.1) θ l v (3) (5) (17) l v l = l d (i, r, e) lg(u, r, e) (30.2) v = v d (r, i) vg(u, r, e) (30.3) (30.1) (30.3) (29.1) (29.2) 3 (e, l, v) u = û, g = L/L = V/V (31) (Liouville) (Liouville) (13) 9

10 ẋ = f(x) d dt m {φ t(d)} = φ t (D) f f (x) = Ax x R n {φ t } D R n div f (x) dx (32.1) d m {φ (D)} = tracea m {φ (D)} (32.2) dt m {φ t (D)} = m(d)exp {t(tracea)} (32.3) div f (x) > 0 div f (x) < 0 (30.1) (30.3) (e, l, v ) c 11 c 12 c 13 e e ė l = c 21 c 22 c 23 l l v c 31 c 32 c 33 v v c ii (i = 1, 2, 3) c 11 = θ u e > 0 (34.1) { ( l d ϕ u c 22 = i u l + ϕ ) } ( + ld r g u l l r l u l + g r r l + g ) g 0 (34.2) l { ( )} ( v d r c 33 = r v + vd ϕ u g u v i u v u v + g ) r g 0 (34.4) r v χ = ( ė, l, v ) (32) div χ = c 11 + c 22 + c 33 (35) FM div χ > 0 (30) (E1) θ (E2) ( u/ e) (E3) l d ( ϕ u i u l + ϕ ) > ld r l r l > 0 (33) 10

11 v d ϕ u (E4) i u v > v d r r v (E5) l ( u/ l) > v ( u/ v) (E6) l ( r/ l) > v ( r/ v) (E7) l v (E8) g IS FM FM FM L l ϕ FM (E1) (E3) 5 IS FM FM LM FM FM 11

12 FM FM (Liouville) (1) (2) (3) (4) (5) (6) [ ] 2007 (1) Sims[1992] Bernanke and Blinder[1992] Kashyap and Stein [1994], Gelter and Gilchrist [1994] Kashyap and Stein [1994] (bank lending channel) Bernanke and Gelter[1995] Bernanke [1983] Bernanke and Blinder 1988[1992] (2) [1993] 12 [1998] 3 5 [2001] 4 [1993] Minsky [1975] [1998] [2001] (15) 12

13 (3) Hicks [1971] [1989] Kaldor [1976] [1983] Taylor [1985] [1991] [2004] [1983] (4) [2003] (5) Myers and Majluf [1984] Myers [1977] Hoshi and Kashyapp [2001] (6) Foley [1975] [1986] (7) (14) [1977] 1 [1992] 7 [1993] (8) LM FM FM LM (9) F r = a 12 a 12 < 0, F e f = ( ) ( ) h 1 g a 11 e f > 0, F l = ( ) h 1 a gl 11 < 0 (10) G u = a 21 a 22 < 0, G e f = ( ) ( ) (( h 2 l d a 22 e f < 0, G l = h 2 l d a 22 i + vd i ( h 2 l d a 22 i + vd i ) ϕ e b < 0 (11) u Σ = F Σ+F r G Σ 1 F r G u, Σ = e f, e h, e b, l, v. (12) r Σ = G Σ+G u F Σ 1 F r G u, Σ = e f, e h, e b, l, v. ) ϕ l + 1 ) 0, G v = h 2 a 22 < 0, G eb = 13

14 (13) [1988]pp [1998] pp [1997] [1993] [1986] December, [2005] [2004], [1998] [2007] P. G. [1998] [2001] [1988] [2001] [2004] [1997] [1983] [1992] [1995] [2003] [1989] [1977] [1992] [1993] No.56, [1996] Bernanken, Ben S. [1983] Nonmonetary Effects of the Financial Crisis in the Propagation of the Great Depression, American Economic Review 73, Bernanke, Ben S. and Alan S. Blinder [1988] Credit, Money, and Aggregate Demand, American Economic Review, Papers and Proceedings 73, Bernanke, Ben S. and Alan S. Blinder [1992] The Federal Funds Rate and the Channels of Monetary Transmission, American Economic Review 82,

15 Bernanke, Ben S. and Martin Gelter [1996] Inside the Black Box: The Credit Channel of Monetary Policy Transmission, Journal of Economic Perspectives 19, Bougheas, Spiros. [2007] Imperfect Capital Markets, Income Distribution and the Choice of External Finance: A Financial Equilibrium Approach, The Quarterly Review of Economics and Finance 47, Chu,Victoria Y.T. and Marcio I. Nakane [2001] Credit Channel without the LM Curve, Banco Central Do Brazil, Working Paper 20, Darity. Willian J. [1987] Debt, Finance, Production, and Trade in a North-South Model: The Surplus Approach, Cambridge Journal of Econmics 11, Dymski, Gary. and Robert Pollin. (ed.) [1994] New Perspectives in Monetary Macroeconmics: Explorations in the Tradition of Hyman P. Minsky, The University of Michigan Press. Foley, Duncan K. [1975] On Two Specifications of Asset Equilibrium in Macroeconomic Models, Journal of Political Economy 83, Gelter, Mark. and Simon Gilchrist [1994] Monetary Policy, Business Cycles, and the Behavior of Small Manufacturing Firms, Quarterly Journal of Economics109, Hoshi, Takeo. and Anil Kashyap [2001] Corporate Financing and Governance in Japan; The Road to The Future, The MIT Press. Kaldor, Nicholas. [1976] Inflation and Recession in the World Economy, Economic Journal 86, Kashyap, Anil K. and Jeremy Stein [1994] Monetay Policy and Bank Lending, in Monetary Policy, ed. by Mankiw, Gregory N., University of Chicago Press, Keynes,Jphn M. [1936] The General Theory of Employment, Interest and Money, London:Macmillan King, Robert G. [2000] The New IS-LM Model: Language, Logic, and Limits, Federal Reserve Bank of Richmond Economic Quarterly 86, McCallum, Bennet T, and Edward Nelson [1999] An Optimizing IS-LM Specification for Monetary Policy and Business Cycle Analysis, Journal of Money, Banking and Credit 31, pp Minsky, Hyman P. [1975] John Maynard Keynes, Columbia University Press Myers, Stewart C. [1977] Determinats of Corporate Borrowing, Journal of Financial Economics 5, Myers, Stewart C. and Nicholas S, Majluf [1984] Corporate Financing and Investment Decisions When Firms Have Information That Investors Do Not Have, Journal of Financial Economics 13, Nelson,Edward. [2003] Money and the Transmission Mechanism in the Optimizing IS-LM Specification, The Federal Reserve Bank of St. Louis, Working Paper A, Romer, David. [2000] Keynesian Macroeconomi without the LM Curve, Journal of Economic Per- 15

16 spectives 14, Semmler, Willi. (ed.) [1989] Financial Dynamics and Business Cycles: New Perspectives, M.E. Sharpe, Inc Sims, Christopher, A. [1980] Macroeconomics and Reality, Econometrica 48, Sims, Christopher, A. [1992] Interpreting the Macroeconomic Time Series of Facts, European Economic Review36, Stiglitz, Joseph E. and Bruce Greenwald [2003] Towards a New Paradigm in Monetary Economics, Cambridge University Press Taylor, Lance and Stephen A. O Connell [1985] A Minsky Crisis, Quarterly Journal of Economics100, Taylor, Lance. [1991] Income Distribution, Inflation, and Growth, Cambridge:MIT Press. Taylor, Lance. [2004] Reconstructing Macroeconomics, Harvard University Press. Velupillai, Vela K. [2006] A Disequilibrium Macrodynamic Model of Fluctuations, Journal of Macroeconomics 28, Wasmer, Etienne. and Philippe Well [2004] The Macroeconmics of Labor and Credit Market Imperfections, American Economic Review 94,

[17]Holmström and Tirole (2000) (1) (2) (1) (2) 1 1 2

2002 4 1 1990 1 525-8577 1-1-1. Tel.: 077-561-4855. Fax.: 077-561-3964. E-mail: khori@ec.ritsumei.ac.jp 1 [17]Holmström and Tirole (2000) (1) (2) (1) (2) 1 1 2 MM MM MM MM CP 0 3 1 1990 1970 2 2 1 1 17%