Optimal Time-Consistent Macroprudential Policy
研究了金融危机模型中抵押约束带来的外部性，发现最优时间一致性政策能大幅降低危机频率和幅度、消除资产收益的肥尾分布并提高社会福利，而固定债务税和宏观审慎泰勒规则效果较差。
Collateral constraints widely used in models of financial crises feature a pecuniary externality: Agents do not internalize how borrowing decisions made in “good times” affect collateral prices during a crisis. We show that under commitment the optimal financial regulator’s plans are time inconsistent and study time-consistent policy. Quantitatively, this policy reduces sharply the frequency and magnitude of crises, removes fat tails from the distribution of asset returns, and increases social welfare. In contrast, constant debt taxes are ineffective and can be welfare reducing, while an optimized “macroprudential Taylor rule” is effective but less so than the optimal time-consistent policy.