After the Panic: Are Financial Crises Demand or Supply Shocks? Evidence from International Trade

恐慌过后:金融危机是需求冲击还是供给冲击?国际贸易证据

2019/05/01 12:15
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对照中文英文原文
支持货币和财政刺激的理由通常将此类事件解释为需求方面的短缺。相反,减税和结构性改革的理由往往来自供应方面的摩擦。

Are financial crises a negative shock to demand or a negative shock to supply? This is a fundamental question for both macroeconomics researchers and those involved in real-time policymaking, and in both cases the question has become much more urgent in the aftermath of the recent financial crisis. Arguments for monetary and fiscal stimulus usually interpret such events as demand-side shortfalls. Conversely, arguments for tax cuts and structural reform often proceed from supply-side frictions. Resolving the question requires models capable of admitting both mechanisms, and empirical tests that can tell them apart. We develop a simple small open economy model, where a country is subject to deleveraging shocks that impose binding credit constraints on households and/or firms. These financial crisis events leave distinct statistical signatures in the empirical time series record, and they divide sharply between each type of shock. Household deleveraging shocks are mainly demand shocks, contract imports, leave exports largely unchanged, and depreciate the real exchange rate. Firm deleveraging shocks are mainly supply shocks, contract exports, leave imports largely unchanged, and appreciate the real exchange rate. To test these predictions, we compile the largest possible crossed dataset of 200+ years of trade flow data and event dates for almost 200 financial crises in a wide sample of countries. Empirical analysis reveals a clear picture: after a financial crisis event we find the dominant pattern to be that imports contract, exports hold steady or even rise, and the real exchange rate depreciates. History shows that, on average, financial crises are very clearly a negative shock to demand.

金融危机是对需求的负面冲击,还是对供应的负面冲击?对于宏观经济学研究人员和那些参与实时决策的人来说,这都是一个根本性的问题。在最近的金融危机之后,这两个问题都变得更为紧迫。支持货币和财政刺激的理由通常将此类事件解释为需求方面的短缺。相反,减税和结构性改革的理由往往来自供应方面的摩擦。解决这个问题需要能够同时承认这两种机制的模型,以及能够区分它们的经验测试。我们开发了一个简单的小型开放经济模型,即一个国家受到去杠杆化冲击的影响,从而对家庭和/或企业施加有约束力的信贷约束。这些金融危机事件在经验时间序列记录中留下了明显的统计特征,而且它们在每种类型的冲击之间存在着巨大的差异。家庭去杠杆化冲击主要是需求冲击、合同进口冲击、保持出口基本不变以及实际汇率贬值。企业去杠杆化冲击主要是供给冲击、合同出口冲击、基本保持进口不变以及实际汇率升值。为了检验这些预测,我们收集了200多年的贸易流数据和近200个国家金融危机的发生日期,并收集了可能存在的最大交叉数据集。实证分析揭示了一个清晰的画面:金融危机事件后,我们发现主要的模式是进口收缩,出口保持稳定甚至上升,实际汇率下降。历史表明,平均而言,金融危机对需求的负面冲击非常明显。

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