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
3 4 5 2 2.1 2.1.1 ( ) z W n u K P N P = (1 + z)wn N = nuk (1) (2) 2.1.2 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
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
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
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 3 3.1 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
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
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
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 4-1 2 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
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 4-1 4-2 4-3 4 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
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
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
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
(3) Hicks [1971] [1989] Kaldor [1976] [1983] Taylor [1985] [1991] [2004] [1983] (4) [2003] 2 38 39 3 71 72 4 100 102 5 128 130 6 156 158 (5) Myers and Majluf [1984] Myers [1977] Hoshi and Kashyapp [2001] 4 1930 1980 1980 1990 (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
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