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Heterogeneous Capital and Misintermediation
发布时间:2013-9-18 来源:本站原创  





主讲人:Guo Feng, 中央财经大学,简历见附件


演讲题目:Heterogeneous Capital and Misintermediation







A perennial problem of 

nancial markets is that of maturity mismatching, or mis-

intermediation, a situation in which 

nancial intermediaries fund long-term, illiquid

loans with short-term liabilities. A previous theory concludes that misintermediation

is responsible for business fluctuations and thus predicts pro-cyclic behavior of surprises

in real interest rates over business cycles. In this paper, we theoretically investigates

the mechanism for generating a disequilibrium boom or recession in a 3-period struc-

ture model. In each period, agents decide how much to consume and how much to

invest in heterogeneous capital for subsequent periods. If demand and supply happen

to coincide in each period, the model will have a unique equilibrium term structure

of interest rates. Otherwise, unexpected changes in real interest rates and real out-

put will occur, in the presence of misintermediation, because previous plans cannot

be completely corrected when a new period starts. This hypothesis is examined in a

subsequent empirical study, in which the relationship between unanticipated changes

in real interest rates and unexpected  fluctuations in real output over time is tested.

The former is derived from real term structures estimated by the multiple exponen-

tial decay interpolation. Speci

cally, a monthly series of synthetic real consol prices

is constructed as a proxy for the price of all future output, changes in which suggest

changes in real interest rates over time. To proxy unexpected output  fluctuations,

we use either a time series of innovations to real GDP or a series of innovations to

factor utilization. Statistical tests will investigate the correlation between the consol

price series and factor-utilization-based series as well as real GDP-based series. The

results show some negative correlations, which can be interpreted as empirical evidence

consistent with the misintermediation hypothesis.

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