,,,,,Modigliani - Miller Bernanke, Gertler Gilchrist 1996,, Bernanke, Gertler Gilchrist ( ) ( ),,,, Bernanke, Gertler Gilchrist (1999),,, RBC, Bernank

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1 RBC 3 (, ) RBC,, RBC,, ; ; F83015 A (2005) RBC,, Modigliani - Miller (1958 ),, RBC,, RBC,?? Gertler 1988, Fisher Keynes,,,,,,,,,, ( ),,, ( ),,,, 3 Chi - Wa Yuen,,,

2 ,,,,,Modigliani - Miller Bernanke, Gertler Gilchrist 1996,, Bernanke, Gertler Gilchrist ( ) ( ),,,, Bernanke, Gertler Gilchrist (1999),,, RBC, Bernanke, Gertler, Gilchrist,,, Bernanke, Gertler, Gilchrist,, RBC,,,,,, RBC,,, RBC RBC, Bernanke, Gertler Gilchrist,, Bernanke, Gertler Gilchrist?,, ;,, ;, ;,,,

3 ,,,,,, RBC, ;, 2111,,, ;,,, 1 c t t, L t t,, l t = 1 - L t t,, u ( c t, 1 - L t ),,,,, w t, t D t, c t = w t L t + R t D t - D t + 1 (1) R t = 1 + r t, r t, w t D t,, max 6 t u ( c t,1 - L t ) (1), CES u ( c t,1 - L t ) = > 0, t = 0 c1 -, (the transversality condition) t (1 - L t) , c - t = t (2) t w t = (1 - L t ) - (3) t = t + 1 R t + 1 (4)

4 t,, (2), (3) 2121,, t, j, j, t + 1, k j t + 1 n j t + 1 t, t + 1 j,,,, B j t + 1, B j t + 1 = k j t n j t + 1,, n j t + 1 B j t + 1,,,,,,, ( ) ;,,,,,, Bernanke, Gertler Gilchrist,,,, j, R k t + 1 ( ), j j R k t + 1 j, F ( ), E{ j } = 1 j, Bernanke, Gertler Gilchrist,,, B j t + 1, Z j t + 1 B j t + 1 L = 6 t u(c t,1 - L t ) + 6 t t (w t L t + R t D t - D t c t ) t = 0 t = 0 j,

5 g j R k t + 1 k j t + 1 = Z j t + 1 B j t + 1 (5) j g j, Z j t + 1 B j t + 1, g j R k t + 1 k j t Z j t + 1 B j t + 1 j < g j,,,,, CSV(costly state verification),,, (1 - ) j R k t + 1 k t + 1,, Z j t + 1 g j ) g j [1 - F( g j ) ] Z j t + 1 B j t (1-0 R k t + 1 k j t + 1 df( ) = R t + 1 B j t + 1 (6) (6),,, (6), j,,, g R j k t + 1 k j t + 1 df( ) - (1 - F( g j ) ) g j R k t + 1 k j t + 1 (7) (6) Bernanke, Gertler Gilchrist (1999), k j t + 1 = ( s t ) n j t + 1, (8) s t = Rk t + 1, s R t,, t + 1 s t 1 (1) = 1, ( ) > 0 (8), (8) s t ( s t ), (8) R k t + 1 = s n j t + 1 k j t + 1 R t + 1, s ( ) < 0 (9) (9), s t = Rk t + 1 j, s R t t + 1,,, s t, R k t + 1 R t + 1,, R k t + 1 R t + 1, s t, s t (9),,

6 ,,,, ;,,, 3111, Cobb - Douglas y t = A t k tl 1 - t (10) y t, k t t - 1,, L t, A t, i t, (11) k t + 1 = i t + (1 - ) k t (11), t t + 1 R k t + 1 = 9y t (1 - ) (12) 9k t + 1 (12), 9y t + 1, (1 - ) 9k t + 1, t t + 1, (12),, (8), R k t + 1 = s n t + 1 k j t + 1 R t + 1 (13) (13), n t + 1 (9), s ( ) R k t + 1, s ( ) < 0, R t + 1 R k t + 1 n R t + 1, t + 1 V t t ( t ), King, Plosser Rebelo (1988), Y t = F( K t, L t X t ), X t, = X t + 1 / X t, z t = Z t / X t, Z t t, Y t, K t, King, Plosser Rebelo, Z t C

7 V t = R t k t - R t ( k t - n t ) - 0 R t k t df( ) (14) (14),, R k t k t, R t ( k t - n t ), g 0 R k t k t df( ),, t, n t + 1 = pv t (15) P t t + 1, p,,, p, (1 - p) V t, c e t = (1 - p) V t (16),,, 3121,,,,, , ( c t ), ( y t ), ( k t ), ( L t ), ( n t ), ( c e t ), (2) (4), R = - 1, R,, ( ),,,,,, y t = c t + i t + c e t (17), D t = B t t D t, B t

8 ,,, (Walras law),,,, , RBC, ^, (2) (3) (4) ^c t = ^ t (18) L 1 - L ^L t = ^ t + ^A t + ^k t - ^L t (19) ^ t = ^ t r 1 + r^r t (20) R t = 1 + r t, r r t, R k t = 1 + r k t, r k r k t, r k, r k, r k,,,, r k (10) (11), < = - (1 - ) (12) (13), ^ t = ^A t + (1 + ) ^L t + ^k t (21) ^i t = <^k t ( < - 1) ^k t (22) r k 1 + r k^r k t = ^A t + (1 - ) ( ^L t - ^k t ) (23) r k 1 + r k^r k t - r 1 + r^r t = - v ( n t - k t ) (24) v = ( Rk / R) ( R k / R) (24),, r k t = r t, (14) (15), ^n t + 1 = (16) P(1 + r) k n r k 1 + r k^r k t - r 1 + r^r r t r^r t + ^n t (25)

9 , (17), ^y t = ^c t + ^i t + ^c t e (27), (18) (27),, A t, (21) (23),,,,,,,,,,,,,,, 4111,, King, Plosser Rebelo RBC, (, R = - 1 = ),,, 0142, (, 011),, Bernanke, Gertler Gilchrist 1999, (1), R k - R 0102, r k - r 0102, 6 ; (2) F( g ) 0103 ; (3) 2, 015 (4) 1 - p, ; log( ), 0, 0128 ;, , ( ^A t = 1),,, Bernanke, Gertler, Gilchrist,,

10 , R k R, RBC,,, ( 1 2) 1 2, 3 4 3

11 4 1 3, RBC,,, 3,,,,,,,,,,,,,,,,,, 30 %,, 5 5,

12 ,,,, RBC, t,,,,,,,,,,,, ( ),,,,,, 5,,, RBC, RBC,, Bernanke, Gertler

13 ,, 6,,, 6,,,,, ( ),,,?, Bernanke, Gertler Gilchrist,,, RBC,,,,, Bernanke,Gertler Gilchrist,,,,, Bernanke, Gertler Gilchrist,, RBC RBC,,,,,, RBC,,,,,,, Bernanke, Bernanke, Gertler, and Gilchrist (1999),, Bernanke, Gertler Gilchrist, 6, Bernanke, Gertler, and Gilchrist, 6, Bernanke, Gertler, and Gilchrist RBC,,,

14 ,,, Bernanke, Gertler Gilchrist,, Bernanke,Gertler Gilchrist,,,,,,,,,, %,325 %, 183 %, 100 %,, 1997,,90,, 2003,,, , Bernanke, Gertler Gilchrist,,,,,, ,,,,,,,,,,

15 1 Bernanke, B1S1 (1993), Nonmonetary effects of the financial crises in the propagation of the great depression, American E2 conomics Bernanke, B1S1 (1993), Credit in the macroeconomy, Quarterly Review, Federal Reserve Bank of New York Bernanke, B1S1 and M1 Gertler (1989) 1 Agency cost, net worth, and business fluctuations, American Economic Review Bernanke, B1S1 and M1 Gertler (1990) 1 Financial fragility and economic performance, Quarterly Journal of Economics Bernanke, B1S1, M1 Gertler, and S1 Gilchrist (1996), The financial accelerator and the flight to quality, Review of Eco2 nomics and Statistics Bernanke, B1S1, M1 Gertler, and S1 Gilchrist (1999), The financial accelerator in a quantitative business cycle frame2 work, Handbook of Macroeconomics. 7 Gertler, M1, and S1 Gilchrist (1992), The role of credit market imperfections in the monetary transmission mechanism ar2 guments and evidence, Scandinavian Journal of Economics Gertler, M1, and R1G1 Hubbard (1988), Financial factors in business fluctuations, in Financial Market Volatility (Feder2 al Reserve Bank of Kansas City) King, R1G1, C1I1 Plosser, and S1T1 Rebelo (1988a), Production, growth, and business cycles I1 The basic neoclassical model, Journal of Monetary Economics King, R1G1, C1I1 Plosser, and S1T1 Rebelo (1988b), Production, growth and business cycles I1 The basic neoclassical model, Technical appendix, Working Paper (University of Rochester). Abstract By introducing financial accelerator into Real Business Cycle model, this paper studies the effect of asymmetric information on economy. Comparing with the traditional RBC model which does not think about the fi2 nancial accelerator, it is found that the financial accelerator enlarges the effect of economic fluctuation on econom2 ic performance and even a small fluctuation may affect economic performance largely. Key words financial accelerator, RBC model, exterior return ( ) ( FY)

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